Calculate value at risk from a given discrete distribution How do I find the value at risk at 90% confidence interval i.e., VaR(10%) for a portfolio with the following profit/loss distribution?
[-120 with prob = 0.0036, -55 with prob = 0.1128, and 10 with prob = 0.8836]
I know the formula VaR(10%) = -(µ - z(0.9)*σ) but get the wrong answer when using it.
Any help would be much appreciated, have an exam soon.

Your VaR formula corresponds to a Normal distribution, but your actual distribution is very far from Normal. No wonder you are not getting what you are after.
Let me give you a hint. What you need to do is find the 10% quantile of the given distribution. What value is it such that 10% of the probability mass of the given distribution is at or to the left of it? Probably not -120, as there is only 0.36% mass at or to the left. And probably not 10, as there is 11.64% of mass to the left. So...
