Logo
Home Study Material Contact Search
AI Chat FREE
  1. business
  2. finance
  3. suppose that each of two investments has a 3% chan

Suppose that each of two investments has a 3% chance of a loss of $12...

50.1K

Verified Solution

Question

Finance

image

Suppose that each of two investments has a 3% chance of a loss of $12 million, a 4% chance of a loss of $3 million, and a 93% chance of a profit of $2 million. They are independent of each other. a) What is the VaR for one of the investments when the confidence level is 95%? b) What is the expected shortfall when the confidence level is 95%? c) What is the VaR for a portfolio consisting of the two investments when the confidence level is 95%? d) What is the expected shortfall for a portfolio consisting of the two investments when the confidence level is 95%? Suppose that each of two investments has a 3% chance of a loss of $12 million, a 4% chance of a loss of $3 million, and a 93% chance of a profit of $2 million. They are independent of each other. a) What is the VaR for one of the investments when the confidence level is 95%? b) What is the expected shortfall when the confidence level is 95%? c) What is the VaR for a portfolio consisting of the two investments when the confidence level is 95%? d) What is the expected shortfall for a portfolio consisting of the two investments when the confidence level is 95%

Answer & Explanation Solved by verified expert
Get Answers to Unlimited Questions

Join us to gain access to millions of questions and expert answers. Enjoy exclusive benefits tailored just for you!

Membership Benefits:
  • Unlimited Question Access with detailed Answers
  • Zin AI - 3 Million Words
  • 10 Dall-E 3 Images
  • 20 Plot Generations
  • Conversation with Dialogue Memory
  • No Ads, Ever!
  • Access to Our Best AI Platform: Flex AI - Your personal assistant for all your inquiries!
Become a Member

Other questions asked by students

Q

A block of mass 5 kg is pressed against a wall with a horizontal force...

Physics
Q

Find the length of the median in each trapezoid 12 14 in 13 15 20...

Geometry
Q

Let f (x) = (x + 1) and g(x) = f- (x).What is the slope...

Basic Math
Q

Verify that the Fundamental Theorem for line integrals can be used to evaluate the following...

Calculus
Q

Let n be an odd integer ? 25.(1) Find the number of pairs (x, y)...

Algebra
Q

Hickory Company manufactures two products15,000 units of Product Y and 7,000 units of Product Z....

Accounting
Q

I'm good with A-G except the depreciation expense on F is alluding me. I need...

Accounting
Q

Please solve this for me: Becton Labs, Inc., produces various chemical compounds for industrial...

Accounting
Q

Required: 1. Using the indirect method. prepare a statement of cash flows for this year....

Accounting
Q

West County Bank agrees to lend Sandhill Co. $364000 on January 1. Sandhill Co. signs...

Accounting
Q

please help 10!!! Balloons By Sunset (BES) is considering the purchase of two...

Accounting
Q

The following balances appear on the books of Cedrick Owens Enterprises: Retained Earnings, $23,700; Dividends,...

Accounting