Consider the Following Discrete Probability Distributions of Payoffs for 3

question 54

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 expected shortfall (ES) of securities Alpha and Beta at the 99 percent confidence level, respectively (in millions) ?

• A)-$300 and -$3,300
• B)-$3 and -$24.75
• C)-$3 and -$25.50
• D)-$300 and -$300
• E)-$ and -$0.75.

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