QUESTIONS 1. Let X be a random variable denoting the rate of return on the fund BancABC. The distribution of X is N(4,0). (a) Define VaRa(X), where a e (0, 1). (b) Show that: VaR, = -(u + a*-(a))....

Extracted text: QUESTIONS 1. Let X be a random variable denoting the rate of return on the fund BancABC. The distribution of X is N(4,0). (a) Define VaRa(X), where a e (0, 1). (b) Show that: VaR, = -(u + a*-(a)). where denotes the cumulative Normal distribution function. (IHint: Consider the probability that X is lesss than VaRa).