(C) Suppose this bank uses 99% 1-year value at risk (a=2.33) to set its economic capital. Assume the 1% tail of the loss distribution has the following values: 0.4% procorresponds to a 600 million loss and 0.6% probability corresponds to a 20 million loss. (0) Comment on the time horizon (t) and confidence level (c) the company chose when calculating economic capital. [6 marks] (ii) Calculate annual Risk-adjusted return on capital (RAROC) of the investment portfolio, which takes into account the expected tail loss. (C) Suppose this bank uses 99% 1-year value at risk (a=2.33) to set its economic capital. Assume the 1% tail of the loss distribution has the following values: 0.4% procorresponds to a 600 million loss and 0.6% probability corresponds to a 20 million loss. (0) Comment on the time horizon (t) and confidence level (c) the company chose when calculating economic capital. [6 marks] (ii) Calculate annual Risk-adjusted return on capital (RAROC) of the investment portfolio, which takes into account the expected tail loss