Question
You have two independent investments and each investment has a 2% chance of a loss of $5 million, a 5% chance of a loss of
- You have two independent investments and each investment has a 2% chance of a loss of $5 million, a 5% chance of a loss of $2 million, and a 93% chance of a profit of $1 million.
(a) What is the VaR for one of the investments when the confidence level is 97%?
(b) What is the expected shortfall when the confidence level is 97%?
(c) What is the VaR for a portfolio consisting of the two investments when the confidence level is 97%?
(d) What is the expected shortfall for a portfolio consisting of the two investments when the confidence level is 97%?
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Real Estate Finance Theory And Practice
Authors: Terrence M. Clauretie, G. Stacy Sirmans
4th Edition
032414377X, 978-0324143775
