# Exercise Solution 1.7

- This is a function of the conditional distribution of the portfolio’s market value , so it is a PMMR.
- Net cash flow is generally unrelated to portfolio market value. Accordingly, this cannot be expressed as a function of and the conditional distribution of . It is not a PMMR.
- While beta is a function of and the conditional distribution of , additional information is required about the “market portfolio” in order to calculate beta. Accordingly, beta is not a PMMR.
- ETL is a PMMR. If we know and the conditional distribution of , we can calculate the conditional distribution of loss
^{1}*L*. With that, we can calculate both the portfolio’s VaR and then the expected loss conditional on that loss exceeding the VaR, which is ETL.