Each of two investments has a 1.5% chance of a loss of \$3 million, a 3.5% chance of a loss of \$2 million, and a 95% chance of a profit of \$1 million....
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# Each of two investments has a 1.5% chance of a loss of \$3 million,

a 3.5% chance of a loss of \$2 million, and a 95% chance of a profit of \$1 million. The two investments are independent of each other. What is the VaR for a AP/ADMS 4509 Section M Financial Risk Management Midterm Exam Winter 2021 portfolio of these two investments when the confidence level is 97.5%? And what is the ES for the same portfolio when the confidence level is 97.5%? The changes in the portfolio value are not normally distributed.

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