RISK MANAGEMENT AND INSURANCE

3) Suppose loss distribution follows a N( = 2,000,02 = 20,000) distribu- ) tion (annual mean and annual variance) Find the VaR with 95% , 98% and 99% confidence levels for time horizons two days and two weeks. HINT: One year is equal to 225 working days. 3) Suppose loss distribution follows a N( = 2,000,02 = 20,000) distribu- ) tion (annual mean and annual variance) Find the VaR with 95% , 98% and 99% confidence levels for time horizons two days and two weeks. HINT: One year is equal to 225 working days