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

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Question: 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.

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

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

What is the Value-at-Risk for a portfolio consisting of the two investments when the confidence level is 99%?

What is the expected shortfall for a portfolio consisting of the two investments when the confidence level is 99%?

In addition, how much cash in this portfolio do you need to hold so that the probability of a negative portfolio value is less than 1%?

 

Reference no: EM133325775

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