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Each of two independent projects has a probability 0.98 of a loss of $1 million and 0.02 probability of a loss of $10 million

Each of two independent projects has a probability 0.98 of a loss of $1 million and 0.02 probability of a loss of $10 million What is the 97.5% VaR for each project? What is the 97.5% expected shortfall for each project? What is the 97.5% VaR for the portfolio? What is the 97.5% expected shortfall for the portfolio?

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