A portfolio has a 95% certainty that it won't lose more than $50,000 in a given day.
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Question:
A portfolio has a 95% certainty that it won't lose more than $50,000 in a given day. On the big loss days, there is a 30% chance the portfolio will lose $50,000 and a 70% chance it will lose $75,000. What is the portfolio's expected shortfall?
ES_0.05 = $67,500
ES_0.05 = $57,500
ES_0.95 = $67,500
ES_0.95 =$57,500
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