3. Suppose that you have two investments, each of which has a 0.9% chance of a loss of S10 million and a 99.1% chance of a loss of $1 million. These two investments are independent of each other. a. What is the VaR for one of the investments at the 99% confidence level? b. What is the expected shortfall for one of the investments at the 99% confidence level? c. What is the 99% VaR for a portfolio consisting of the two investments? d. What is the 99% expected shortfall for a portfolio consisting of the two investments?

3. Suppose that you have two investments, each of which has a 0.9% chance of a loss of S10 million and a 99.1% chance of a loss of $1 million. These two investments are independent of each other. a. What is the VaR for one of the investments at the 99% confidence level? b. What is the expected shortfall for one of the investments at the 99% confidence level? c. What is the 99% VaR for a portfolio consisting of the two investments? d. What is the 99% expected shortfall for a portfolio consisting of the two investments?

FINANCIAL ACCOUNTING

10th Edition

ISBN:9781259964947

Author:Libby

Publisher:Libby

Chapter1: Financial Statements And Business Decisions

Section: Chapter Questions

Problem 1Q

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<Urgent> please answer M9,M10,M11
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