Problem 5.5 Consider a portfolio which could incur a loss L (for example due to opera- tional risks). The loss L is random and is distributed with complementary CDF F(y), defined as F(y) = P(L > y) given by F(y) = if 0 M 2y2 (i) Compute VaRp, the Value-at-Risk at Confidence Level p, defined as (6) VaR, = inf{.x > 0: P(L > x)

VaRp] As in the previous point, assume p y) given by F(y) = if 0 M 2y2 (i) Compute VaRp, the Value-at-Risk at Confidence Level p, defined as (6) VaR, = inf{.x > 0: P(L > x)

VaRp] As in the previous point, assume p