You are analyzing the potential values for a loan in the balance sheet of Bank X in one year. After some initial analysis, you determined the distributions below. Scenarios Rating 1; Probability =9.0%; Value =$18.9M; Rating 2; Probability =71.0%; Value =$18.6M; Rating 3; Probability = 14.0\%: Value =$18.4M; Rating 4; Probability =3.0%; Value =$18.1M; Rating 5; Probability =2.0%; Value =$17.7M; Default: Probability =1.0%; Value =$8.8M; The 2% VAR for this loan is given by: $0.9M so.1M 50.8M $0.4M, $9.7M