6. The probability that the loss from a portfolio will be greater than $10 million in one month is estimated to be 5% (that is, VaR9500(L) = $10). (a) What is the one-month 99% VaR assuming the change in value of the portfolio is normally distributed with zero mean? Hint: You need to first solve for o(L) from VaRos (L) = $10 using the special results for normally distributed losses and the value for VaRos(2), where Z is standard normal Z, which you can solve in Excel. (b) What is the one- month 99% VaR assuming the power law applies with a-3? Hint: Use the information in the problem to first solve for K in Prob (L>x)= Kr. Then you can solve for the 99% cutoff (i.c., the x so that Prob (L>x) = 0.01)