关于风险价值问题

Suppose that a loss distribution has the property that the absolute 95% VaR is $20,000 and the expected shortfall at the 95% level is $40,000. Consider different distributions that have this property and that take values only at multiples of $10,000 (i.e. they are discrete). Find a distribution with this property that has the highest possible value of VaR at the 99% level. Explain why your proposed distribution has the highest VaR0.99 possible, and determine the maximum VaR0.99 . (Hint: you only need to consider a distribution having values at 3 points in total, with one point having losses of less than 20,000, and two points having losses of 20,000 or more.)