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Prudent Bank holds a stock in its portfolio which has the following discrete probability distribution of payof Probability Payoff 33.0 65.5 0.5 0.013 0.987 ($ millions) 28 36 40 -300 -532 At a 99% confidence level, what is the Expected Shortfall? (Please only provide the magnitude of Expected Shortfall, i.e. without a minus sign, and round your answer 14 tuo denimal places in terms of millions of dollars please do not show the S sign in the answer, e.g. if the

Prudent Bank holds a stock in its portfolio which has the following discrete probability distribution of payof Probability Payoff 33.0 65.5 0.5 0.013 0.987 ($ millions) 28 36 40 -300 -532 At a 99% confidence level, what is the Expected Shortfall? (Please only provide the magnitude of Expected Shortfall, i.e. without a minus sign, and round your answer 14 tuo denimal places in terms of millions of dollars please do not show the S sign in the answer, e.g. if the

Essentials Of Investments
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
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Prudent Bank holds a stock in its portfolio which has the following discrete probability distribution of payoffs: Probability Payoff 33.0 65.5 0.5 0.013 0.987 ($ millions) Answer: 28 36 40 -300 -532 At a 99 % confidence level, what is the Expected Shortfall? (Please only provide the magnitude of Expected Shortfall, i.e. without a minus sign, and round your answer to two decimal places in terms of millions of dollars - please do not show the $ sign in the answer. e.g. if the answer is -$2.134 million, enter 2.13)
Transcribed Image Text:Prudent Bank holds a stock in its portfolio which has the following discrete probability distribution of payoffs: Probability Payoff 33.0 65.5 0.5 0.013 0.987 ($ millions) Answer: 28 36 40 -300 -532 At a 99 % confidence level, what is the Expected Shortfall? (Please only provide the magnitude of Expected Shortfall, i.e. without a minus sign, and round your answer to two decimal places in terms of millions of dollars - please do not show the $ sign in the answer. e.g. if the answer is -$2.134 million, enter 2.13)
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