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A portfolio has 5% 1-day Expected Shortfall of $5 million. What is the right interpretation? I. 5% of the time the 1-day loss on the

A portfolio has 5% 1-day Expected Shortfall of $5 million. What is the right interpretation?

I. 5% of the time the 1-day loss on the portfolio will be greater than $5 million.

II. The average 1-day loss on the portfolio in the worst 5% of the cases is $5 million.

III. The average of all 1-day losses which are greater than the 5% 1-day VaR is $5 million.

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