The probability that the loss from a portfolio will be greater than $10 million in one month

Question:

The probability that the loss from a portfolio will be greater than $10 million in one month is estimated to be 5%.

(a) What is the one-month 99% VaR assuming the change in value of the portfolio is normally distributed with zero mean?

(b) What is the one-month 99% VaR assuming that the power law applies with a = 3?

Portfolio
A portfolio is a grouping of financial assets such as stocks, bonds, commodities, currencies and cash equivalents, as well as their fund counterparts, including mutual, exchange-traded and closed funds. A portfolio can also consist of non-publicly...