Question
Over the next year, two independent investments each have a 90% probability of a $1M gain, 9% probability of a $5M loss, and a 1%
Over the next year, two independent investments each have a 90% probability of a $1M gain, 9% probability of a $5M loss, and a 1% probability of a $20M loss. Calculate the 1-year VaR0.999 and ES0.999.
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Investing In Financial Research A Decision Making System For Better Results
Authors: Cheryl Strauss Einhorn, Tony Blair
1st Edition
1501732757, 9781501732751
