Value at Risk The monthly prices for Banco Ruida are as follows:

Date Adj Close 01/03/2020 514.2 01/02/2020 518 03/01/2020 493.35 01/12/2019 492.75 01/11/2019 473 03/10/2019 533 01/09/2019 539 01/08/2019 564 01/07/2019 640 01/06/2019 715 03/05/2019 720 01/04/2019 763 01/03/2019 714 01/02/2019 758 04/01/2019 764.5 01/12/2018 685.5 01/11/2018 610.5 18/10/2018 796.24 Assume you have €1 million invested in the bank. Calculate the analytical VaR for Banco Ruida using a monthly holding period and 1 per cent loss probability. What is the main limitation of the value-at-risk method?