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Suppose that each of two investments has a 1.5% chance of $20M (= 20 million) loss and a 98.5% chance of $4M loss in 1 year. The investments are independent of each other.
a) What is VaR (1 year, 98%) for one of the investments?
b) What is ES (1 year, 98%) for one of the investments?
c) What is VaR (1 year, 98%) for the portfolio consisting of the two investments?
d) What is ES (1 year, 98%) for the portfolio consisting of the two investments?
Show that VaR does not satisfy the sub-additivity condition whereas ES does.
What are the three choices available to management for dealing with risk? What distinguishes an unfunded from a funded retained risk?
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