Consider the Following Discrete Probability Distributions of Payoffs for 3

question 5

Multiple Choice

Consider the following discrete probability distributions of payoffs for 3 securities that are held in a DI's trading portfolio (payoff amounts shown are in $millions) : What is the one-day, 99% confidence level, value at risk (VAR) of securities Alpha and Beta, respectively (in millions) ?

• A)$3 and $25.50
• B)$3 and $0.75
• C)$248 and 248
• D)$300 and $300
• E)300 and 3,300