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The probability that the loss from a portfolio will be greater than $10 million in one month is estimated to be 1%. a) What is

The probability that the loss from a portfolio will be greater than $10 million in one month is estimated to be 1%.

a) What is the loss that has a 0.1% chance of being exceeded, assuming the change in value of the portfolio is normally distributed with zero mean?

b) What is the loss that has a 0.1% chance of being exceeded, assuming the power law applies with = 3?

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