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26. Consider the following discrete probability distribution of payoffs for two securi- ties, A and B, held in the trading portfolio of an FI: Probability

26. Consider the following discrete probability distribution of payoffs for two securi- ties, A and B, held in the trading portfolio of an FI: Probability 55.00% 44.00 1.00 $120m 95m 1,100m Probability 55.00% 44.00 0.30 0.70 $120m 100m -1,100m -1,414m Which of the two securities will add more market risk to the FI's trading portfo- lio according to the VAR and ES measures? 1. 1. ci

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