def var_cov_var_normal(P, c, mu=<NUM_LIT:0>, sigma=<NUM_LIT:1>):
alpha = sp.stats.norm.ppf(<NUM_LIT:1> - c, mu, sigma)<EOL>return P - P * (alpha + <NUM_LIT:1>)<EOL>
Variance-covariance calculation of daily Value-at-Risk in a
portfolio.

Parameters
----------
P : float
    Portfolio value.
c : float
    Confidence level.
mu : float, optional
    Mean.

Returns
-------
float
    Variance-covariance.