Which One of the Following Best Describes Expected Shortfall/conditional Value-At-Risk

question 161

Multiple Choice

Which one of the following best describes expected shortfall/conditional value-at-risk at the 95% level?

• A) the expected loss on the portfolio in the worst 95% of cases
• B) the expected loss in those cases where the loss exceeds the VaR at the 95% level
• C) the maximum loss in those cases where the loss exceeds the VaR at the 95% level
• D) the expected loss in those cases where the loss exceeds the VaR at the 5% level

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