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Assume that an operational process has a 5% probability of creating a material loss and, otherwise, no material loss is experienced. If the material loss
- Assume that an operational process has a 5% probability of creating a material loss and, otherwise, no material loss is experienced. If the material loss occurs, the severity is normally distributed with a mean of $4 million and standard deviation of $2 million. What is the 95% expected shortfall?
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