medium · Quantitative Finance qf-core
A $25 million portfolio has a daily expected return of 0.06% and a daily standard deviation of 1.2%. Using the properties of a normal distribution, calculate the 1-day 99% Expected Shortfall (ES). Note: φ(2.326) ≈ 0.0267.
- $682,750
- $745,000
- $915,000
- $790,200
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