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1. Suppose that the distribution of the 1-year loss is as follows. Loss ($ million) Probability 1 0.4 0 0.2 1 0.2 2 0.1 4
1. Suppose that the distribution of the 1-year loss is as follows.
Loss ($ million) Probability
1 0.4
0 0.2
1 0.2
2 0.1
4 0.1
(a) Find the 1-year 70% VaR.
(b) Find the 1-year 70% ES.
(c) Find the 1-year 80% VaR.
(d) Find the 1-year 80% ES.
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