Suppose that each of two investments has a 1% chance of loss of $ 12 million, a 4% chance that of loss of $1 million, and a 95% chance of profit of $4 million. They are independent of each other.
A. What is the VaR for one of the investments when the confidence level is 97.5%?
B. What is the expected shortfall when the confidence level is 97.5%?
C. What is the VaR for a portfolio consisting of the two investments when the confidence level is 97.5%?
D. What is the expected shortfall of for a portfolio consisting of the two investments when the confidence level is 97.5%?