In the preceding problem, suppose the distribution of returns is not normal but Student’s t with 5 degrees of freedom. What is the 99% VaR under the new assumption? What happens to the VaR when the t distribution has 20 degrees of freedom instead? Explain the difference in results.

Data in preceding problem,

Suppose the average profit of FOF Inc. is $1 million per week. The standard deviation of profits per week is $1 million as well. Calculate the 99% and 90% VaR for FOF. Assume profits are normally distributed.