Conditional value at risk of this trade

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Reference no: EM131815074

You are a trader at Company X. Your friend at Company Y offers you a trade. Each day, he will roll a 200 sided dice. If it comes up 1, you will pay him $500,000. Otherwise, he will pay you $1,500. You will do this every day for 5 years. What is the 1% daily VaR (Value at Risk) of this trade? Additionally, what is the 1% daily CvAR (Conditional Value at Risk) of this trade?

Reference no: EM131815074

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