The Use of Expected Shortfall (ES) to Measure Market Risk

question 86

Multiple Choice

The use of expected shortfall (ES) to measure market risk of a portfolio assumes which of the following?

• A)There is a very small sample size (<30 observations) used to estimate probability distributions.
• B)That the probability distribution is skewed to the left.
• C)That changes in asset prices are normally distributed but with fat tails.
• D)That the probability distribution is skewed to the right.
• E)That changes in asset prices follow a standard normal probability distribution.