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Question: We have two independent investments. Each of them may have a 1% chance of a loss of 10 million dollars, a 2% chance of a loss of 5 million, a 3% chance of a loss of 1 million, and a 94% chance of a profit of 1 million. The VaR(0.95) for each single investment is………. The Var(0.98) for each single investment is………. The ES(0.95) for each single We have two independent investments. Each of them may have a 1% chance of a loss of 10 million dollars, a 2% chance of a loss of 5 million, a 3% chance of a loss of 1 million, and a 94% chance of a profit of 1 million. The VaR(0.95) for each single investment is………. The Var(0.98) for each single investment is………. The ES(0.95) for each single investment is …………. What is the Var for a portfolio consisting of the two investments when the confidence level is 95%? What is the expected shortfall for a portfolio consisting of the two investments when the confidence level is 95%?
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We have two independent investments. Each of them may have a 1% chance of a loss of 10 million dollars, a 2% chance of a loss of 5 million, a 3% chance of a loss of 1 million, and a 94% chance of a profit of 1 million. The VaR(0.95) for each single investment is………. The Var(0.98) for each single investment is………. The ES(0.95) for each single
We have two independent investments. Each of them may have a 1% chance of a loss of 10 million dollars, a 2% chance of a loss of 5 million, a 3% chance of a loss of 1 million, and a 94% chance of a profit of 1 million. The VaR(0.95) for each single investment is………. The Var(0.98) for each single investment is………. The ES(0.95) for each single investment is …………. What is the Var for a portfolio consisting of the two investments when the confidence level is 95%? What is the expected shortfall for a portfolio consisting of the two investments when the confidence level is 95%?
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