3. Suppose that you have two investments, each of which has a 0.9% chance of a loss of S10 million and a 99.1% chance of a loss of $1 million. These two investments are independent of each other. a....

3. Suppose that you have two investments, each of which has a 0.9% chance of a loss of S10 million and a<br>99.1% chance of a loss of $1 million. These two investments are independent of each other.<br>a. What is the VaR for one of the investments at the 99% confidence level?<br>b. What is the expected shortfall for one of the investments at the 99% confidence level?<br>c. What is the 99% VaR for a portfolio consisting of the two investments?<br>d. What is the 99% expected shortfall for a portfolio consisting of the two investments?<br>

Extracted text: 3. Suppose that you have two investments, each of which has a 0.9% chance of a loss of S10 million and a 99.1% chance of a loss of $1 million. These two investments are independent of each other. a. What is the VaR for one of the investments at the 99% confidence level? b. What is the expected shortfall for one of the investments at the 99% confidence level? c. What is the 99% VaR for a portfolio consisting of the two investments? d. What is the 99% expected shortfall for a portfolio consisting of the two investments?

Jun 10, 2022

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3. Suppose that you have two investments, each of which has a 0.9% chance of a loss of S10 million and a 99.1% chance of a loss of $1 million. These two investments are independent of each other. a....

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