b) Suppose that your bank is considering investing in a one-year project. The investment willcost $10 million and has an 80% chance of generating $19 million income, a 10% chanceof generating $13 million income, a 7% chance of generating $8 million income and a 3%chance of generating nothing.i) Illustrate the cumulative probability distribution for this project's gains and losses[Feel free to draw the distribution by hand and paste a picture of it].ii) What is the one-year VaR for the project when the confidence level is 95%. Whatdoes it mean?iii) What is the Expected Shortfall (ES) when the confidence level is 95%?iv) What information does the Expected Shortfall measure provide which the VaRdoes not?

“Since you have posted a question with multiple sub-parts, we will solve first three subparts for…

Answered: b) Suppose that your bank is…

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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