Question
A one-year project has a 3% chance of losing USD 10 million, a 7% chance of losing USD 3million, and a 90% chance of gaining
A one-year project has a 3% chance of losing USD 10 million, a 7% chance of losing USD 3million, and a 90% chance of gaining USD 1 million. What are (a) the VaR and (b) theexpected shortfall when the confidence level is 95% and the time horizon is one year?
VaR ES
A.3million 7.2million
B.3million 6.0million
C.10million 7.2million
D.10million 10million
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Introduces Quantitative Finance
Authors: Paul Wilmott
2nd edition
470319585, 470319581, 978-0470319581
