Problem 13-13 Value-at-Risk (VaR) Statistic (LO4, CFA6)

a. A stock has an annual return of 12.6 percent and a standard deviation of 34 percent. What is the smallest expected loss over the next 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.)

Smallest Expected Loss ______%

b. Does this number make sense?

• No

• Yes