Question
We have two independent investments.
Each of them may have a 2% chance of a loss of 10 million euros, a 3% chance of a loss of 5 million euros, a 2% chance of a loss of 1 million euros, and a 93% chance of a profit of 1 million euros.
The 95% VaR for one of the two investments is (in million euros)
Each of them may have a 2% chance of a loss of 10 million euros, a 3% chance of a loss of 5 million euros, a 2% chance of a loss of 1 million euros, and a 93% chance of a profit of 1 million euros.
The 95% VaR for one of the two investments is (in million euros)
Answers
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5 million euros