Consider a portfolio consisting of $7 million invested in a security S, and $3 million invested in a security B. The sensitivity (beta) between the S component and the overall portfolio is 1.4. Assume that the portfolio has a VaR of $500,000. The component VaR of asset B is closest to: Select one: a. $100,000 b. $1.25m c. $10,000 d. $1,000

Which of the following statements about expected shortfall estimates and coherent risk measures are true?

Select one:

a.

Expected shortfall and coherent risk measures estimate quantiles for the tail region

b.

Expected shortfall estimates quantiles for the entire distribution and coherent risk measures estimate quantiles for the tail region only

c.

Expected shortfall estimates quantiles for the tail region and coherent risk measures estimate quantiles for the non-tail region only

d.

Expected shortfall and coherent risk measures estimate quantiles for the entire loss distribution