Question
Suppose that each of two independent investments has a 2% chance of a loss of $10 million and 98% chance of a profit of $2
Suppose that each of two independent investments has a 2% chance of a loss of $10 million and 98% chance of a profit of $2 million.
a) What is the Value-at-Risk for one of the investments with confidence level 99%?
b) What is the expected shortfall for one of the investments with confidence level 99%?
c) What is the Value-at-Risk for a portfolio consisting of the two investments when the confidence level is 99%?
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The Analysis And Use Of Financial Statements
Authors: Gerald I. White, Ashwinpaul C. Sondhi, Haim D. Fried
3rd Edition
0471375942, 978-0471375944
