Question: WBS Bank's regulators require that the bank use multiple risk factors for the upcoming stress testing. Critically discuss the concept of the Expected Shortfall and

WBS Bank's regulators require that the bank use multiple risk factors for the upcoming stress testing. Critically discuss the concept of the Expected Shortfall and the differences between the Expected Shortfall and Value at Risk (VaR) measures. Comment on the weaknesses of each of them. ( 500 word)

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Expected Shortfall ES also known as Conditional Value at Risk CVaR is a risk measure that provides information about the expected loss given that the loss exceeds a certain threshold It calculates the ... View full answer

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