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Question
Consider the following discrete probability distributions of payoffs for 3 securities that are held in a DI's trading portfolio (payoff amounts shown are in $millions):
What is the expected shortfall (ES) of securities Alpha and Beta at the 99 percent confidence level, respectively (in millions)?
A. -$300 and -$3,300
B. -$3 and -$24.75
C. -$3 and -$25.50
D. -$300 and -$300
E. -$ and -$0.75.
Answer
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