Consider the following discrete probability distribution of payoffs for two securities, A and B, held in the trading portfolio of an FI Which of the two securities will add more market risk to the FI 's trading portfolio according to the VAR and ES measures Probability 55 00 44 00 1 00 Probabilit S...

The expected return on security A 055120m 04495m 0011100m 968m The expected return o ...

Consider the following discrete probability distribution of payoffs for two securities, A and B, held in the

Question:

Consider the following discrete probability of payoffs for two securities, A and B, held in the trading of an FI:

Which of the two securities will add more market risk to the FI's trading portfolio according to the VAR and ES measures?

Distribution
The word "distribution" has several meanings in the financial world, most of them pertaining to the payment of assets from a fund, account, or individual security to an investor or beneficiary. Retirement account distributions are among the most... Portfolio
A portfolio is a grouping of financial assets such as stocks, bonds, commodities, currencies and cash equivalents, as well as their fund counterparts, including mutual, exchange-traded and closed funds. A portfolio can also consist of non-publicly...