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Suppose that each of two investments has a 4% chance of a loss of $10 million, a 2% chance of a loss of $1 million,

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Suppose that each of two investments has a 4% chance of a loss of $10 million, a 2% chance of a loss of $1 million, and a 94% chance of a profit of $1 million. They are independent of each other. (a) What is the VaR for one of the investments when the confidence level is 95%? (b) What is the expected shortfall when the confidence level is 95%

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