RSK4805 Assignment 4 (COMPLETE ANSWERS) 2024 - DUE September 2024 ; 100% TRUSTED Complete, trusted solutions and explanations. For assistance, Whats-App 0.6.7-1.7.1-1.7.3.9. Ensure your success with us.. Ass 4
Q1
Suppose that each of two investments has a 4% chance of a loss of R15 million, a 1...
Due Date: September 2024
QUESTION 1
Q1
Suppose that each of two investments has a 4% chance of a loss of R15 million, a 1% chance of
a loss of R1.5 million and a 95% chance of a profit of R1.5 million. They are independent of each
other. Calculate the expected shortfall (ES) when the confidence level is 95%?
The expected shortfall for one of the investments is the expected loss conditional that the loss is in
the 5% tail. Given that we are in the tail, there is a Answer % chance than the loss is R1.5 million
and an Answer % chance that the loss is R15 million.
The expected loss is equal to R Answer million.
Round your answer to two decimal places (e.g., 10.15 million)
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