13. Consider the following discrete probability distribution of payoffs for two securities, A and B, held in the trading portfolio of an Fl: Probability 55% 44% 1% Probability 55% A $120m 95m -1,100m 44% 0.3% 0.7% $120m 100m -1,100m -1.414m a. Calculate the expected return on security A and B. b. Calculate the 99% confidence level VAR for security A and B c. Calculate the 99% confidence level expected shortfall for security A and B.

Q: Consider the following data for two risk factors (1 and 2) and two securities (J and L): λ0 = 0.07…

A: We’ll answer the first question since the exact one wasn’t specified. Please submit a new question…

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A:

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