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What is the expected shortfall when the confidence level is 95%?

01 / 10 / 2021 Research Papers

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9.12 Suppose that each of two investments has a 4% chance of a loss of $10 million, a 2% chance of… 1 answer below » 9.12             Suppose that each of two investments has a 4% chance of a loss of $10 million, a 2% chance of a loss of $1 million, and a 94% chance of a profit of $1 million. They are independent of each other. a. What is the VaR for one of the investments when the confidence level is 95%? b. What is the expected shortfall when the confidence level is 95%? c.           & View complete question » 9.12             Suppose that each of two investments has a 4% chance of a loss of $10 million, a 2% chance of a loss of $1 million, and a 94% chance of a profit of $1 million. They are independent of each other. a. What is the VaR for one of the investments when the confidence level is 95%? b. What is the expected shortfall when the confidence level is 95%? c. What is the VaR for a portfolio consisting of the two investments when the confidence level is 95%? d. What is the expected shortfall for a portfolio consisting of the two investments when the confidence level is 95%? e. Show that, in this example, VaR does not satisfy the subadditivity condition whereas expected shortfall does. View less » Nov 16 2015 11:40 AM



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