Consider a portfolio which could incur a loss L (for example due to opera- tional risks). The loss L is random and is distributed with complementary CDF F(y), defined as F(y) = P(L>y) given by (5) F(y) = 3 MB if 0 M (i) Compute VaRp, the Value-at-Risk at Confidence Level p, defined as (6) VaRp = inf{x > 0: P(L>x)

VaR) As in the previous point, assume p y) given by (5) F(y) = 3 MB if 0 M (i) Compute VaRp, the Value-at-Risk at Confidence Level p, defined as (6) VaRp = inf{x > 0: P(L>x)

VaR) As in the previous point, assume p