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PLEASE SHOW SOLUTIONS & Answers. Thank You! VaR is an attractive measure because it is easy to understand. However, when VaR is used in an

image text in transcribedPLEASE SHOW SOLUTIONS & Answers. Thank You!
VaR is an attractive measure because it is easy to understand. However, when VaR is used in an attempt to limit the risks taken by a trader, it can lead to undesirable results. :For example, suppose each of two independent projects has a probability of 0.02 of a loss of $10 million and a probability of 0.98 of a loss of $1 million during a one-year period. Under the confidence level of 97.5%, please calculate the VaR of the portfolio and the sum of VaRs for each project

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