1. Let X be a random variable denoting the rate of return on the fund BancABC....

 

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1. Let X be a random variable denoting the rate of return on the fund BancABC. The distribution of X is N(u,o). (a) Define VaRa(X), where a E (0, 1]. (b) Show that: VaR, = -(u+o-(a)), where denotes the cumulative Normal distribution function. (IHlint: Consider the probability that X is less than VaR.). 1. Let X be a random variable denoting the rate of return on the fund BancABC. The distribution of X is N(u,o). (a) Define VaRa(X), where a E (0, 1]. (b) Show that: VaR, = -(u+o-(a)), where denotes the cumulative Normal distribution function. (IHlint: Consider the probability that X is less than VaR.).

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