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Expected shortfall is A. the expected gain that will be realized within a specified probability range. B. the expected loss given that the loss is
Expected shortfall is
A. | the expected gain that will be realized within a specified probability range. | |
B. | the expected loss given that the loss is greater than the VaR level. | |
C. | the expected value of funding shortage. | |
D. | the loss level that will not be exceeded with a specified probability |
The standard deviation of the change in value of a position in a stock per day is $45,000. The 10-day 97.5% VaR is closest to..
A. | $331,565 | |
B. | $278,913 | |
C. | $45,000 | |
D. | $352,800 |
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