Consider the Following Discrete Probability Distributions of Payoffs for 3

question 51

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 payoff, the 99% value at risk (VAR) and the expected shortfall (ES) of security Gamma (in millions) ?

• A)+$248; -$2,000; -$2000
• B)-$248; -$20; -$2,000
• C)-$2.150; -$2,150; -$2,150
• D)+$248; -$21.50; -$20.00
• E)±$0.00; -248; -$2,150

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