Var0.95 = 1
Aar0.98 = 5
We have two independent investments. Each of them may have a 1% chance of a loss of 10 million dollars, a 2% chance of a loss of 5 million, a 3% chance of a loss of 1 million, and a 94% chance of a profit of 1 million.
(Express all the following answers in million dollars: 100 million = 100, 1.3 million = 1.3)
1. The VaR0.95 for each single investment is = ?
2. The VaR0.98 for each single investment is = ?
3. The ES0.95 for each single investment is = ?
4. What is the VaR for a portfolio consisting of the two investments when the confidence level is 95%?
5. What is the expected shortfall for a portfolio consisting of the two investments when the confidence level is 95%? (round off to the second decimal place)
Remember: VaR0.95 means Value-at-Risk at 95% confidence level, ES means Expected Shortfall.
4 answers
Var0.95 = 1
Var 0.98= 5
Es 0.95 = 4.4
Var 0.98= 5
Es 0.95 = 4.4
confidence level is 95% = 4
shortfall for a portfolio consisting of the two investments when the confidence level is 95% = 6.18
shortfall for a portfolio consisting of the two investments when the confidence level is 95% = 6.18
a)1
b)5
c)4.4
d)4
e)6.14
b)5
c)4.4
d)4
e)6.14