Anyone knows how is the solution derived ? If I were to use L~N(-0.06, variance), P(L>0.1)=0.05 P(Z> (0.1+0.06)/sd) = 0.05 Seems to be going in the wrong direction.
As a clue, you are asked to find a 95% VaR (ie min loss in 5% of cases). You have been given the size of the loss that might occur at 5% .....
