Suppose the loss random variables of two risky investments, denoted by L1 and L2, are normally distributed with mean ; and variance , i = 1,2. Assume that their random losses are independent so that the sum of random losses, sum = 1 + L2, remains to be normal with mean + and variance +02. (a) Show that VaRa (Li) = i + N(a), i = 1, 2. where a is the confidence level. (b) Find VaR(sum).