Financial Risk Management Practice Test
Financial Risk Management Market Risk Management 3
Expected Shortfall (ES), also called CVaR, is superior to VaR because it:
Select your answer
A
Is always a smaller number than VaR
B
Measures the average loss in the worst scenarios beyond the VaR threshold
C
Is easier to calculate for non-linear portfolios
D
Satisfies all four properties of a coherent risk measure, unlike VaR
Hint
