Suppose there are two projects with a 2% probability of losing 1 billion won and a 98% probability of losing 100 million won in one year. (independent of each other)
1) What is the 97.5% VaR for each project?
2) What is the 97.5% Expected Shortfall for each project?
3) What is the 97.5% VaR of the portfolio?
4) What is the 97.5% Expected Shortfall of the portfolio?
