Exercice IV (Gaussian financial risk measures) Let L be the loss and assume that L ~ N(0, 1). Note that the loss is positive when the realization of L is positive. 1. Let VaRa > 0 be the Value at Risk defined as P(L _ VaRa) = a. Compute VaRa > 0. 2. Let ESa > 0 be the Value at Risk defined as E(LIL > VaRa). Recall the required conditional density (see your slides) and compute ESa > 0, the expected shortfall