Which one of the following best describes expected shortfall/conditional value-at-risk at the 95% level?

Question

Options

• Athe expected loss on the portfolio in the worst 95% of cases
• Bthe expected loss in those cases where the loss exceeds the VaR at the 95% level
• Cthe maximum loss in those cases where the loss exceeds the VaR at the 95% level
• Dthe expected loss in those cases where the loss exceeds the VaR at the 5% level

• A
  19% (10)
• B
  70% (37)
• C
  4% (2)
• D
  8% (4)

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