hard · Quantitative Finance
Consider a portfolio of $100M with an expected daily return of 0.05% and a daily standard deviation of 1.2%. Assuming returns are normally distributed, calculate the 1-day 99% Expected Shortfall (ES_99%), given z_0.99 = 2.326 and φ(2.326) ≈ 0.0267.
- $2.74M
- $3.15M
- $3.25M
- $1.20M
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