DW Co. stock has an annual return mean and standard deviation of 15 percent and 38 percent, respectively. What is the smallest expected loss in the coming year with a probability of 5 percent? (A negative value should be indicated by a minus sign. Do not round intermediate calculations. Round the z-score value to 3 decimal places when calculating your answer. Enter your answer as a percent rounded to 2 decimal places.)

Using this logic:

I am confused on the .994, is that the Z score? how do I get that for my example, and what is the solution for my example

DW Co. stock has an annual return mean and standard deviation of 11 percent and 40 percent, respectively. What is the smallest expected loss in the coming year with a probability of 16 percent? (A negative value should be indicated by a minus sign. Do not round intermediate calculations. Round the z-score value to 3 decimal places when calculating your answer. Enter your answer as a percent rounded to 2 decimal places.) Smallest expected loss Explanation Prob(R 0.110-0.994(0.40))-16% Prob(R -0.2876)-16%