(Only calculation, no need explanation)

The probability that a trading portfolio will lose more than $10 million in 1 month is 5%:

a) Assume that the change in the value of the portfolio follows a mean . What is the VaR at the 99% confidence level for a 1-month look-ahead period, assuming a normal distribution with mean .

b) Assuming that Fourier's Law holds and a= 3, what is the VaR at the 99% confidence level for the 1-month look-ahead period?