Assume a bank has given out 2 $10 million one-year loans. Each loan has a 1.25% chance of defaulting. When a loan defaults, the loss can be anywhere between 0 and 100% of the value with equal probability. If there is no default, each loan leads to a profit of $0.2 million If one loan defaults it is certain that the other one will not default What is the 99% VaR and expected shortfall of each project What is the 99% VaR and expected shortfall for the portfolio