The main difference between Value at Risk $($VaR$)$ and Expected Shortfall $($ES$)$ is:

Question $3$Answer

a$.$

VaR accounts for the average loss in the worst$-$case scenario, while ES does not.

b$.$

VaR is a measure of market risk, whereas ES is a measure of credit risk.

c$.$

ES is less accurate than VaR.

d$.$

ES considers the average loss beyond the VaR threshold, while VaR does not.