Calculate VaR and expected shortfall (Part 1): Suppose that each of two investments hasa 3% chance of a loss of $10 million, a 7% chance of a loss of $3 million, and a 90%chance of a profit of $2 million. They are independent of each other. What is the VaRand the expected shortfall for one of the investments when the confidence level is 95%?Select one:O a. VaR=$10 million; Expected shortfall-$10 millionO b. VaR=$3 million; Expected shortfall-$7.2 millionOc. VaR $6.5 million; Expected shortfall-$6.5 millionO d. VaR=$3 million; Expected shortfall-$6.5 millionOe. VaR=$2 million; Expected shortfall-$6 million

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Answered: Calculate VaR and expected shortfall…

MATLAB: An Introduction with Applications

6th Edition

ISBN:9781119256830

Author:Amos Gilat

Publisher:Amos Gilat

Chapter1: Starting With Matlab

Section: Chapter Questions

Problem 1P

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