2. Suppose that each of two investments has a 4% chance of a loss of 10 million, a 2% chance of a loss of 1 million, and a 94% chance of a profit of 1 million. They are independent of each other. () What is the value at Risk (VaR) for one of the investments when the confidence level is 95%? [10 marks] (ii) What is the VaR for a portfolio consisting of the two investments when the confidence level is 95%? (10 marks) What is the expected shortfall for a portfolio consisting of the two investments when the confidence level is 95%