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Market Risk
Market Risk
Medium
A trading desk has 1,000 historical P&L scenarios. The 10 worst daily losses are (in $ millions): -9.5, -8.1, -7.3, -6.8, -6.2, -5.9, -5.4, -5.0, -4.7, -4.3. The 99% Expected Shortfall is closest to:
A
$6.32 million
B
$4.30 million
C
$6.82 million
D
$9.50 million
Select an answer to continue
Tags
#expected-shortfall
#cvar
#historical-simulation
#tail-risk
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FRM Part II — Market Risk Practice Question | AcadiFi | AcadiFi