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What is the value-at-risk for one of the investments

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Reference no: EM133111509

Suppose that each of two independent investments has a 2% chance of a loss of $10 million and 98% chance of a profit of $1 million.

a) What is the Value-at-Risk for one of the investments with confidence level 99%?

b) What is the expected shortfall for one of the investments with confidence level 99%?

Reference no: EM133111509

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