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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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Introduction To Financial Technology
Authors: Roy S. Freedman
1st Edition
0123704782, 9780123704788
