Suppose a financial institution holds a well diversified $680,000 position in stocks. The variance of this position in relation to the overall S&P is equal to 1. Over the past year the average daily variation of the S&P is 135 basis points with a standard deviation of 110 basis points. Determine the fluctuation that corresponds to an expected shortfall that occurs with 5% confidence. Note: The scale factor is 2.063.

Group of answer choices

0.022693

0.036193

0.0388505

0.22693

Suppose a financial institution holds a well diversified $680,000 position in stocks. The variance of this position in relation to the overall S&P is equal to 1. Over the past year the average daily variation of the S&P is 135 basis points with a standard deviation of 110 basis points. Determine the the expected shortfall from an extreme event at the 5% level. Note: The scale factor is 2.063.

Group of answer choices

$24,611.24

$25,535.44

$18,788,163.46

$187,881,634.57