Expected shortfall is always greater than VaR C. Expected shortfall is sometimes greater than VaR and sometimes less than VaR D. Expected shortfall is a measure of liquidity risk wheras VaR is a measure of market risk Answer: B It means that the risk of the combination of two portfolios is always less than or equal to the sum of the risks of the individual portfolios. VaR... 3 When gains and losses are normally distributed, these two measures are almost exactly equivalent. ES is defined as the average loss on condition that losses are greater or equal than VaR3. This example runs the ES back … Given a certain confidence level, this measure represents the expected loss when it is greater than the value of the VaR calculated with that confidence level. Solved Which of the following is NOT true? Group of answer - Chegg Expected shortfall for a ten-day period is greater than for a five-day period. 2.1. Comparative analyses of expected shortfall True. Group of answer choices Expected shortfall is always greater than value at risk In a historical simulation with 1000 scenarios, the 99% VaR is the tenth worst loss. Expected shortfall gives equal weight to all quantiles greater than the Xth quantile and zero weight to all quantiles below the Xth quantile. Expected shortfall is always greater than VaR C. Expected shortfall is sometimes greater than VaR and sometimes less than VaR D. Expected shortfall is a measure of liquidity risk wheras VaR is a measure of market risk. Shortfall deviation risk: an alternative for risk measurement Ferraty et al. VAR gives a 100% weighting to the Xth quantile and zero to other quantiles. VaR Or Expected Shortfall. Nuts & Bolts of FRTB – Expected Shortfall – Markets Risks
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