<t>I don't think ppauper's answer is in the right area, X is not normally distributed in this problem it is a mixture of 2 normals. The inverse of the VaR function is:f(x) = 0.991 * cum.norm.dist(x,mean=0,std=1) + 0.001 * cum.norm.dist(x,mean=-10,std=1) So do a root find on:g(x) = 0.991 * cum.norm.d...