Consider a financial asset in which we invest 100 AUD and which results in the following value in the next period.

Value next period Probability 95 0.5% ;98 X ;100 2% ;110 80% ;150 16%;

a) Calculate X.

b) Fill out the following table.

Gain/Loss:

Probability: 0.5%; X; 2%; 80%; 16%

c) Calculate the 1% value at risk.

d) Calculate the 1% expected shortfall.

e) Calculate the 5% value at risk and the 5% expected shortfall.