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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 payoff, the 99% value at risk (VAR) and the expected shortfall (ES) of security Gamma (in millions)?
A. +$248; -$2,000; -$2000
B. -$248; -$20; -$2,000
C. -$2.150; -$2,150; -$2,150
D. +$248; -$21.50; -$20.00
E. $0.00; -248; -$2,150
Answer
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