1.(15 points in total) Suppose that a portfolio consists of two independent projects A and B. Project A has a 10% chance of a loss of $5 million, a 10% chance of a loss of $1 million, and a 80% chance of a gain of 2 million. Project B has a 10% chance of a loss of $5 million and a 90% chance of a gain of 2 million.

(a)What is the total loss distribution of the portfolio? (5 points)

(b)What are the 98.5% VaR and Expected Shortfall for the portfolio? (5 points

(c)What are the 95% VaR and Expected Shortfall for the portfolio? (5 points)