Suppose the CVAR on an investment is 33 Suppose further that

Suppose the CVAR on an investment is 33. Suppose further that the gain, G, from this investment is normally distributed with mean 45 and standard deviation 5. What is c?

Solution

z score =(33 - 45)/ 5 = -2.40

use a z score table to determine the probability

probability = (1 - 0.0207) = 0.9793

so C = 97.93%