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An equity portfolio manager has conducted an historical daily Value-at-Risk (VaR) analysis using 500 days of data (500 historical scenarios). The 5 greatest losses produced
An equity portfolio manager has conducted an historical daily Value-at-Risk (VaR) analysis using 500 days of data (500 historical scenarios). The 5 greatest losses produced by the VaR analysis are:
The 99% Expected Shortfall (associated with the 99% VaR) for the portfolio is approximately:
$300
$250
$500
$280
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