The following losses are ranked from highest to lowest for $500$ scenarios in a historical simulation. Suppose that two

stress scenarios are considered. They lead to losses $($ $$000s)$ of $450,750$ and $850.$ The probabilities assigned to the

scenarios are $0\mathrm{.}3\%,0\mathrm{.}1\%$ and $0\mathrm{.}1\%,$ so the total probability of the stress scenarios is$,$ therefore $0\mathrm{.}5\%.$

Assume exponential weighting is used $(=0\mathrm{.}995)$ for the historical scenarios. Compute the $1-$day $99\%$ expected shortfall.