Suppose that the one-day VaR with a confidence level of 90% is $2 million and the

one-day expected shortfall is $2 million. Using the assumption that the distribution

of changes in the portfolio value is normal with mean zero, the one-day 95% VaR is

2.567

Select one:

a. can not be determined

b. 1.367

c. no answers

d. 2.567