3 Risk measure and deviation measure 3.1 VaR and CVaR (a) Verify that VaR and CVaR are both risk measures. (b) Verify that CVaR is coherent risk measure but VaR is not coherent. (c) Suppose X ~ N05, :72), show that VaRa = ,u ore1(a), CVaRO, = ,u + gear1(a)), where (1%), go(-) is the cumulative distribution function and density function of a standard normal distribution respectively