Question: You are using a historical simulation with 1,000 past trading days to estimate risk the expected shortfall of the portfolio. You sort the simulated daily

You are using a historical simulation with 1,000 past trading days to estimate risk the expected shortfall of the portfolio. You sort the simulated daily P/L from worst to best giving the following worst 15 scenarios. What is the 99%, 1day expected shortfall of the portfolio?

Scenario Rank Daily P/L

1 USD 2,833

2 USD 2,333

3 USD 2,228

4 USD 2,084

5 USD 1,960

6 USD 1,751

7 USD 1,679

8 USD 1,558

9 USD 1,542

10 USD 1,484

11 USD 1,450

12 USD 1,428

13 USD 1,368

14 USD 1,347

15 USD 1,319

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