Consider a financial asset in which we invest 100 AUD and which results in the following value in the next period.
Value next period Probability 95 0.5% ;98 X ;100 2% ;110 80% ;150 16%;
a) Calculate X.
b) Fill out the following table.
Gain/Loss:
Probability: 0.5%; X; 2%; 80%; 16%
c) Calculate the 1% value at risk.
d) Calculate the 1% expected shortfall.
e) Calculate the 5% value at risk and the 5% expected shortfall.