Question: The current price of the BP stock is $53. The probability distribution of the BP’s stock
price over the 10-day period is given below.
Price ($) 40 42 49 50 55 60 65
Probability 0.003 0.005 0.1 0.2 0.522 0.1 0.07
a. Calculate the loss distribution on BP stock.
b. What is a 10-day 99% VaR?
c. What is the Expected shortfall at 99% level?
d. Continue with the previous exercise, but now suppose that the lowest price is changed
to $30 and everything else remains the same.
e. What is the new VaR?
f. What is the new expected shortfall change? Briefly comment on these results. Edit
Answer: Loss =2.20
Expected shortfall change=3
The change is slightly small and it will not affect much Edit
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