Which of the following statements is correct?

a.

For any given country risk variable, the greater the size of the systematic risk relative to the unsystematic risk, the less important the variable is to the lender.

b.

For situations where probability distributions exhibit fat tail losses, expected shortfall (ES) may look relatively small, but the value at risk (VAR) may be very large.

c.

The Expected Shortfall (ES) is a measure of market risk that estimates the expected losses beyond a given confidence level.

d.

Buyers of LDC debt in secondary markets typically are large FIs willing to accept write-downs of loans on their balance sheets.

e.

The back-simulation approach to estimating market risk exposure requires normally distributed asset returns, but does not require correlations of asset returns.