A
AcadiFi
Market RiskHard

A bank uses the Expected Shortfall (ES) measure at the 97.5% confidence level for its trading book. Over 250 historical simulation scenarios, the sorted daily P&L losses from worst to best show the six worst losses as: $18.2M, $15.7M, $14.1M, $12.8M, $11.5M, and $10.3M. The ES at the 97.5% confidence level is closest to: