Problem $5\mathrm{.}4$

Consider a portfolio which can have a loss over $1$ year of $1$ m with probability $8\%,$ or a loss of $10$ m with probability $2\%.($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 $95\mathrm{.}0\%.$