Use equation (22.1) to show that when the loss distribution is normal, VaR with 99% confidence is

Question:

Use equation (22.1) to show that when the loss distribution is normal, VaR with 99% confidence is almost exactly the same as ES with 97.5% confidence.

Distribution
The word "distribution" has several meanings in the financial world, most of them pertaining to the payment of assets from a fund, account, or individual security to an investor or beneficiary. Retirement account distributions are among the most...