Question: Consider a portfolio which can have a loss over 1 year of 1m with probability 9%, or a loss of 10m with probability 1%. (For

Consider a portfolio which can have a loss over 1 year of 1m with probability 9%, or a loss of 10m with probability 1%. (For example, the portfolio could consist of two bonds, with the respective default probabilities. ) Compute the Value-at-Risk and Expected Shortfall for this portfolio at confidence level 97.5%

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