(a) The following losses are ranked from highest to lowest for 500 scenarios in a historical simulation. Suppose that three stress scenarios are considered. They lead to losses ($000s) 850 and 950. The probabilities assigned to the scenarios are 0.7% and 0.3%, respectively. The total probability of the stressed scenarios is, therefore 1%.

Scenario	Loss ('000s)
494	477.841
339	345.435
349	282.204
329	277.041
487	253.385

Assume exponential weighting is used ( = 0.99) for the historical scenarios. Compute the 1-day 97.5% expected shortfall.