medium · FRM Part 1 Valuation and Risk Models
A risk analyst is comparing ES at 95% and 99% for the same normal distribution.
If the tail density multipliers are 2.06 and 2.67 respectively, which confidence level has a larger ES?
- It depends on the portfolio value V.
- They are identical because the volatility is the same.
- 95%
- 99%
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