2. Assume the ROR distribution has 15% mean and 9% variance, the return at 1 SD distance away could be A 45%; B 15%; C 0%; D -15%; E -45% ): ): 3. Suppose the worst three RORs of 48 observations are 12%, -8% and 5%, the closest value of the 5% VaR is A -5.2%; B 7.8%; C 7.4%; D 5.6%; E -0.8%