Question: Question 2 An investment is composed by 2 defaultable bonds. Each bond has a 3% probability of default. The probability of default are independent. When

Question 2 An investment is composed by 2 defaultable bonds. Each bond has a 3% probability of default. The probability of default are independent. When a) Find the value-at-risk and the expected shortfall at 95% for each b) Find the value-at-risk and the expected shortfall at 95% for the in- c) Show in this example that the value-at-risk is not sub-additive and a bond defaults the investor losses $50. separated bond. vestment consisted of the two bonds. the expected shortfall is Question 2 An investment is composed by 2 defaultable bonds. Each bond has a 3% probability of default. The probability of default are independent. When a) Find the value-at-risk and the expected shortfall at 95% for each b) Find the value-at-risk and the expected shortfall at 95% for the in- c) Show in this example that the value-at-risk is not sub-additive and a bond defaults the investor losses $50. separated bond. vestment consisted of the two bonds. the expected shortfall is

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