When Assessing Tail Risk by Looking at the 5% Worst-Case

question 34

Multiple Choice

When assessing tail risk by looking at the 5% worst-case scenario, the most realistic view of downside exposure would be

• A) expected shortfall.
• B) value at risk.
• C) conditional tail expectation.
• D) expected shortfall and value at risk.
• E) expected shortfall and conditional tail expectation.

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Definitions:

Maturity Value

The total amount that will be paid to an investor at the end of a fixed-income security's term, including both the original principal and the interest earned.

Promissory Note

A written promise to pay a specified amount of money at a predetermined time or on demand to a named party.

Interest Value

The amount of income earned from an investment, typically expressed as a percentage of the principal.

Face Value

The nominal or dollar value printed on a security or a financial instrument, such as a bond or stock, representing its legal value.