Suppose you have two independent investments: A and B. Investment A has a 3.5% chance of a loss of 9 million, a 2% chance of a loss of 1.5 million, a 88% chance of a profit of 2 million, a 5% chance of a profit of 4 million, and a 1.5% chance of a profit of 11 million. Investment B has a 3% chance of a loss of 7 million, a 5% chance of a loss of 2 million, and a 92% chance of a profit of 5 million. a) b) c) What are the 95% value at risk and expected shortfall of each investment? [10 marks] What is the 95% value at risk and expected shortfall of both investments combined? [10 marks] Explain why value at risk is not a coherent risk measure. [5 marks]