$1.$ A fund manager announces that the fund$$s one$-$month $95\%$ VaR is $6\mathrm{.}5\%$ of the size of the portfolio being managed. You have an investment of $$100,000$ in the fund. How do you interpret the portfolio manager$$s announcement?

There is a $5\%$ chance that you will lose $ Answer

or more during a one$-$month period.

$2.$ Suppose the expected shortfalls calculated for two segments of a business are $$55$ million and $$110$ million. The correlation between the losses is estimated as $0\mathrm{.}5.$

Expected Shortfall is $Answer

million.

Round your answer to two decimal places $($e$.$g$.,12\mathrm{.}23$ million$)$