Question: What is Expected Shortfall? Explain its similarities and differences from Value at Risk. Using an example, show how Expected Shortfall and Value at Risk concepts

What is Expected Shortfall? Explain its similarities and differences from "Value at Risk". Using an example, show how Expected Shortfall and Value at Risk concepts help financial institutions manage interest rate risk? What are their respective problems, uses and advantages? Why is Basel Committee ( in III ) recommending Expected Shortfall while earlier it had recommended Value at Risk for measuring risk capital? Is expected shortfall a more optimal measure for analyzing the impact on bank's capital? Why or Why not? How do we address the shortcomings of expected shortfall?

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