You have created a Monte Carlo simulation to calculate the one-day, 99% VaR of a portfolio containing a large number of options. In your simulation, you generate 1,000 sample one-day returns. The following table contains the 12 worst losses from your simulation. (Here, losses are represented as positive numbers, so 16% is a loss of 16% or a profit of −16%.)

What is the one-day 99% VaR? What is the one-day 99% expected shortfall?

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1 2 34 567 8 9 10 11 12 Loss (%) 17% 14% 14% 13% 13% 12% 12% 12% 12% 11% 11% 11%