When using expected shortfall (ES) to measure market risk of a portfolio we assume that:

Select one:

A. That changes in asset prices are normally distributed but with fat tails.

B. That the probability distribution is skewed to the left.

C. That the probability distribution is skewed to the right.

D. There is a very small sample size (<30 observations) used to estimate probability distributions.

E. That changes in asset prices follow a standard normal probability distribution.