Question: Expected shortfall is A. the expected gain that will be realized within a specified probability range. B. the expected loss given that the loss is

Expected shortfall is

A.

the expected gain that will be realized within a specified probability range.
B.

the expected loss given that the loss is greater than the VaR level.
C.

the expected value of funding shortage.
D.

the loss level that will not be exceeded with a specified probability

The standard deviation of the change in value of a position in a stock per day is $45,000. The 10-day 97.5% VaR is closest to..

A.

$331,565
B.

$278,913
C.

$45,000
D.

$352,800

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