Consider the Following Discrete Probability Distributions of Payoffs for 3

question 52

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) :

$\begin{array} { | l r r | } \text { SECURITY } & \text { PROBABILITY } & \text { PAYOFF } \\\text { Alpha } & 0.50 & 355 \\& 0.49 & 150 \\& 0.01 & - 300\end{array}$
$\begin{array} { lcc } \text { SECURITY } & \text { PROBABILITY } & \text { PAYOFF } \\\text {Beta } & 0.50 & 1500 \\& 0.49 & - 300 \\& 0.0025 & - 3,300\end{array}$
$\begin{array} { lcc } \text { SECURITY } & \text { PROBABILITY } & \text { PAYOFF } \\\text {Gamma } & 0.49 &400 \\&0.49&150 \\&0.01 &-150 \\&0.01&-2,000\end{array}$
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

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