ACI
3I0-012 · Question #454
Which one of the following best describes expected shortfall/conditional value-at-risk at the 95% level?
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Question
Which one of the following best describes expected shortfall/conditional value-at-risk at the 95% level?
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
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