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The profit/loss distribution for Morozov Inc. (Morozov) is normally distributed with an annual mean of $20 million and a standard deviation of $13 million. Which of the following amounts is closest to VAR at the 99% confidence level using a parametric approach? A. $10.29 million. B. $13.54 million. C. $5.48 million. D. $1.45 million. |