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(25 points in total) Suppose that each of two independent investments has a 2% chance of a loss of $10 million and 98% chance of

(25 points in total) Suppose that each of two independent investments has a 2% chance of a loss of $10 million and 98% chance of a profit of $1 million. a) What is the Value-at-Risk for one of the investments with confidence level 99%? (5 points) b) What is the expected shortfall for one of the investments with confidence level 99%? (5 points)

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