Which of the following is true of the $99\%$ value at risk?

a$.$ There is $1$ chance in $1000$ that the loss will be lower than the value of risk $($WRONG$)$

b$.$ There is $1$ chance in $100$ that the loss will be lower than the value of risk

c$.$ There is $1$ chance in $100$ that the loss will be greater than the value of risk

d$.$ There is $1$ chance in $1000$ that the loss will be greater than the value of risk

A portfolio has a non$-$normal distribution of returns with a $95\%$ one$-$week VaR of $$15,000.$ If the average weekly loss in the worst $5\%$ of cases is $$20,000,$ calculate the one$-$week Expected Shortfall.

a$.$ $$15,000$

b$.$ $$22,50$

c$.$ $$20,000$

d$.$ $$17,500($WRONG$)$

The Expected Shortfall at a $99\%$ confidence level indicates that:

a$.$ The portfolio will not lose more than the Expected Shortfall in $99\%$ of cases

b$.1\%$ of all losses will be greater than the Expected Shortfall.

c$.$ The average loss in the worst $1\%$ of cases will be equal to the Expected Shortfall.

d$.99\%$ of all losses will be less than or equal to the Expected Shortfall. $($WRONG$)$

Which of the following is not related to the definition of VaR?

a$.$ Tolerance level $($WRONG$)$

b$.$ Non$-$normality of returns

c$.$ Risk measure

d$.$ Worst case loss