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What are the var and the expected shortfall

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A one-year project has a 3% chance of losing USD 10 million, a 7% chance of losing USD 3million, and a 90% chance of gaining USD 1 million. What are (a) the VaR and (b) the expected shortfall when the confidence level is 95% and the time horizon is one year?

Reference no: EM132691919

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