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Each of two independent projects has a probability of 0.98 of a loss of $1m and a 0.02 probability of a loss of $10m. a)

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

a) What is the 97.5% VaR for each project?

b) What is the 97.5% expected shortfall of each project?

c) What is the 97.5% VaR for the portfolio?

d) What is the 97.5% expected shortfall for the portfolio?

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