medium · Quantitative Finance

Which of the following statements correctly identifies a primary mathematical advantage of ES over VaR?

1. ES is subadditive, meaning the risk of a combined portfolio cannot exceed the sum of individual risks, which is a requirement for a coherent risk measure.
2. ES is actually computationally simpler to calculate in practice because it does not require any integration over the tail of the loss distribution.
3. ES provides a single fixed loss threshold value that the portfolio's realized loss will supposedly never exceed with complete, absolute certainty.
4. ES is considerably less sensitive than VaR to the specific distributional assumption chosen, such as wrongly assuming that asset returns are normally distributed.

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