medium · FRM Part 1
Expected Shortfall (ES) at a 99% confidence level is defined as which of the following?
- The minimum loss that will occur 1% of the time over the horizon.
- The maximum possible loss the portfolio can sustain under a normal distribution.
- The average loss, given that the loss has exceeded the 99% VaR threshold.
- The standard deviation of the tail of the distribution.
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