1. Suppose there are two projects with a 2% probability of losing 1 billion won and a 98% probability of losing 100 million won in one year. (independent of each other)

1) What is the 97.5% VaR for each project?

2) What is the 97.5% Expected Shortfall for each project?

3) What is the 97.5% VaR of the portfolio?

4) What is the 97.5% Expected Shortfall of the portfolio?

2. Suppose there are two investment proposals as follows. Let each investment plan have a 4% probability of incurring a loss of KRW 10 billion and a 96% probability of incurring a loss of KRW 2 billion. Assuming that the two investment proposals are independent of each other, answer the following questions.

1) When the confidence level is 95%, find the VaR and ES of each investment, respectively.

2) At a confidence level of 95%, find the VaR and Expected Shortfall (ES) of a portfolio composed of two investment proposals, respectively.

please explain the answer

1, 1) VaR-100 million won 2) ES-x 10+ 2,5 2.5 3. Probability of losing KRW 2billion-0.0004, Probability of losing KRW 1.1 billion-0.0392, Probability of losing 200 million won 0,9604 VaR - L1 billion won 0.04 2,46 4) ES= x20+ 2,5 2,5 2, 1) VaR- 2 billion won ES-100+*20-84 2) VaR 120 W 0,16 4,84 ES- x 200+ 5 5 -122,- 3. 1st foreign exchange Vimit Var x1-8.2 billion wor x11-11.14- 120 -0,50.410 billion -2 billion won 2nd Forex Limit Var -0.5x0.9 10 billion 4.5 billion won