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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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