Suppose bank is considering investing in one year project. The investment will cost $10million and had an 80% chance of generating $19million income, a 10% chance of generating $13million income, a 7% chance of generating $8million incom and a 3% chance of generating nothing.
a)What is one year value at risk (VAR) for the project when confidence level is 95%?
b) What is the expected shortfall (ES) when the confidence level is 95%?