Verify that VaR and CVaR are both risk measures. (b) Verify that CVaR is coherent risk measure (proving the sub-additivity is tricky, use Lemma 1 in L2) but VaR is not coherent (sub-additivity is violated, try to construct a counterexample using some discrete distributions). (c) Suppose XN(, o2), show that VaRa = --(a), CVaRa = = + y($(a)), where (), y() is the cumulative distribution function and density function of a standard normal distribution respectively.