An investment is composed by 2 defaultable bonds. Each bond has a 3% probability of default. The probability of default are independent. When a bond defaults the investor losses $50. a) Find the value-at-risk and the expected shortfall at 95% for each separated bond. b) Find the value-at-risk and the expected shortfall at 95% for the in- vestment consisted of the two bonds. c) Show in this example that the value-at-risk is not sub-additive and the expected shortfall is. An investment is composed by 2 defaultable bonds. Each bond has a 3% probability of default. The probability of default are independent. When a bond defaults the investor losses $50. a) Find the value-at-risk and the expected shortfall at 95% for each separated bond. b) Find the value-at-risk and the expected shortfall at 95% for the in- vestment consisted of the two bonds. c) Show in this example that the value-at-risk is not sub-additive and the expected shortfall is