Consider a portfolio which could incur a loss L (for example due to operational risks). the loss L is random and is distributed with complementary CDF F(y), defined as

(4) F(y) = P(L >y) given by (5) M if 0 M. (i) Compute VaRp, the Value-at-Risk at Confidence Level p, defined as VaRp = inf{r > 0: P(L > x)

VaRp] As in the previous point, assume p y) given by (5) M if 0 M. (i) Compute VaRp, the Value-at-Risk at Confidence Level p, defined as VaRp = inf{r > 0: P(L > x)

VaRp] As in the previous point, assume p