Suppose that, in the example in Section 14.1, seven stress scenarios are considered.

They lead to losses (in $000s) of 240, 280, 340, 500, 700, 850, and 1,050. The subjective probabilities assigned to the scenarios are 0.5%, 0.5%, 0.2%, 0.2%, 0.05%, 0.05%, and 0.05%, respectively. What is the new one-day 99% VaR that would be calculated using the procedure discussed in Section 19.3?

AppendixLO1