Garrison Limited is a retail business and trading conditions have been deteriorating. The CFO estimates the potential volatility in earnings, measured as the standard deviation of the firms value, could be $900,000 per annum, with an expected profit of $650,000. Garrison Limited cost of funds is 5.5%pa.

What is the Annual VaR (rounded to the nearest $) if the company uses a 99% confidence level based on a normal distribution?

Select one:

a. 1,485,000

b. 1,072,500

c. 2,097,000

d. 1,514,500