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CM2 Mock paper A question 5

A

AlexLky

Member
Hi,

Looking at the IFOA specimen paper I'm not sure I follow the logic for part (ii). I thought, as the VaR is 0, the tailVaR would be the expected shortfall with L = 0, hence we would be looking at Σ(L-X) * p(X=x) for X<L (as defined in the ACTED notes). But I understand X as taking values 0 and 100 so I understand the TailVar as = 0. How can they arrive at 106 and 108 respectively?

Thanks
 
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