Question
You calculate a one-day 99% VaR ($8 million) using historical data on 1,000 days of profit/loss information. The losses beyond the VaR level are $9,
You calculate a one-day 99% VaR ($8 million) using historical data on 1,000 days of profit/loss information. The losses beyond the VaR level are $9, $13, $15, $18, $21, $23, $26, $29, and $32 million, then what is the expected shortfall?
| $9 million | ||
| $18 million | ||
| $21 million | ||
| $32 million |
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Corporate Finance Investment And Advisory Applications
Authors: Jesse McDougall, Patrick Boyle
1st Edition
1530116597, 9781530116591
