Question
Prudent Bank holds a stock in its portfolio which has the following discrete probability distribution of payoffs: Probability Payoff 33.0 65.5 0.5 0.013 0.987
Prudent Bank holds a stock in its portfolio which has the following discrete probability distribution of payoffs: Probability Payoff 33.0 65.5 0.5 0.013 0.987 ($ millions) Answer: 28 36 40 -300 -532 At a 99% confidence level, what is the Expected Shortfall? (Please only provide the magnitude of Expected Shortfall, i.e. without a minus sign, and round your answer to two decimal places in terms of millions of dollars - please do not show the $ sign in the answer. e.g. if the answer is-$2.134 million, enter 2.13)
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Financial Institutions Management A Risk Management Approach
Authors: Marcia Cornett, Patricia McGraw, Anthony Saunders
8th edition
978-0078034800, 78034809, 978-0071051590
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