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You need to calculate VaR and Expected Shortfall for the portfolio. The company is facing the possibility of completing two projects Project 1. 2% Chance
You need to calculate VaR and Expected Shortfall for the portfolio. The company is facing the possibility of completing two projects Project 1. 2% Chance of a loss of 10M DKK 98% Chance of a win of 1M DKK Project 2.5% Chance of a loss of 5M DKK 95% Chance of a win of 2M DKK Question 1: Set up the payout profiles for the two projects in combination, under the following situations 1) The two projects can be completed independently of each other 2) Implementation of project 2 is dependent on project 1 providing a gain You need to calculate VaR and Expected Shortfall for the portfolio. The company is facing the possibility of completing two projects Project 1. 2% Chance of a loss of 10M DKK 98% Chance of a win of 1M DKK Project 2.5% Chance of a loss of 5M DKK 95% Chance of a win of 2M DKK Question 1: Set up the payout profiles for the two projects in combination, under the following situations 1) The two projects can be completed independently of each other 2) Implementation of project 2 is dependent on project 1 providing a gain
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