hard · FRM Part 2 Market Risk
A hedge fund reports a 95% monthly VaR of $50 million. If the distribution of monthly returns is normal with a mean of$2 million, what is the monthly Expected Shortfall (ES)? (Use φ(z_0.95) = 0.103 and z_0.95 = 1.645).
- 65.05 million
- 72.44 million
- 50.00 million
- 55.20 million
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