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Explain steps clearly. Consider a portfolio of three projects each of which has a 4% chance of a loss of 10m, a 31% chance of
Explain steps clearly.
Consider a portfolio of three projects each of which has a 4% chance of a loss of 10m, a 31% chance of a loss of $5m and a 65% chance of a gain of $1m. You may assume the outcomes are independent.
a) Calculate the 95% VaR and Expected Shortfall of a single project.
b) Calculate the 95% VaR and Expected shortfall of the portfolio of three projects.
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