What is the closest estimate of the daily expected shortfall at the 96.5% confidence level?
A. USD 543 million
B. USD 588 million
C. USD 634 million
D. USD 740 million
Answer:C
What is the closest estimate of the daily expected shortfall at the 96.5% confidence level?
A. USD 543 million B. USD 588 million C. USD 634 million D. USD 740 million
Explanation: An estimate of the expected shortfall (ES) can be obtained by taking the average of the VaRs