Consider a portfolio that is constituted by two projects, say A and B. Each project has a 1/10 chance of a loss of $10 million and a 9/10 of a loss $1 million. Moreover, each project has probabilities 1/3 and 2/3 of a loss of $1 million and $10 million respectively, given that the other project had a loss of $1 million, and probabilities 1/4 and 3/4 of a loss of $1 million and $10 million respectively, given that the other project had a loss of $10 million.

(a) What is the 97.5% VaR for each project?

(b) What is the 97.5% expected shortfall for each project?

(c) What is the 97.5% VaR for the portfolio?

(d) What is the 97.5% expected shortfall for the portfolio?