Question: For a portfolio, if the 9 9 % one - day VaR is calculated to be $ 1 0 , 0 0 0 , what

For a portfolio, if the 99% one-day VaR is calculated to be $10,000, what would be the Expected Shortfall (ES) if the average loss on the worst 1% days is $15,000?
Question 17Answer
a.
$25,000
b.
$15,000
c.
$11,000
d.
$10,000

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