Exercise 2: Consider the following distribution of profits of asset A:

Profit Probability

150 25%

100 30%

80 10%

20 26%

0 3%

-10 3%

-20 2%

-50 1%

a) Calculate the = 1% VaR, the = 2% VaR, the = 5% VaR, = 10% VaR, = 20% VaR.

b) Calculate the = 1% ES, the = 2% ES, the = 5% ES, = 10% ES, = 20% ES.