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The income from a portfolio during a 1-year period is normally distributed with a mean...

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Finance

  1. The income from a portfolio during a 1-year period is normally distributed with a mean of $5 million and a standard deviation of $3 million. What is the 99% VaR of its income? Please explain what this 99% VaR implies (the statement)?

Rank

Return

86

-0.03676

87

-0.04035

88

-0.04324

89

-0.04953

90

-0.05821

91

-0.05905

92

-0.065

93

-0.06511

94

-0.07055

95

-0.07621

96

-0.08184

97

-0.08675

98

-0.09255

99

-0.10026

100

-0.10291

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