Suppose that you have two investments, each of which has a 0.8% chance of a loss of $12 million and a 99.2% chance of a loss of $2 million. These two investments are independent of each other. What is the expected shortfall (ES) for one of the investments at the 99% confidence level?

		$2 million
		$4 million
		$10 million
		$12 million

Suppose that you have two investments, each of which has a 0.8% chance of a loss of $12 million and a 99.2% chance of a loss of $2 million. These two investments are independent of each other. What is the VaR for one of the investments at the 99% confidence level?

		$10 million
		$2 million
		$4 million
		$12 million

Suppose that the daily change in the value of a portfolio is normal with a mean of zero and a standard deviation of $1.5 million. What is the 10-day 99% VaR of the portfolio? (Hint: The left-tailed z-value is 2.33 for the 99% confidence level.)

		$1.50 million
		$11.05 million
		$3.50 million
		$10.40 million