The following are highly ranked losses for the 500 different scenarios under the historical simulation. What is the one-
Posted: Fri Mar 04, 2022 9:36 am
The following are highly ranked losses for the 500 different
scenarios under the historical simulation. What is the one-day 99%
expected shortfall?
Scenario Number
Loss ($000s)
131
1,082.969
494
715.512
227
687.720
98
661.221
329
602.968
339
546.540
74
492.764
193
470.092
487
458.177
131
1,082.969
494
715.512
227
687.720
98
661.221
329
602.968
339
546.540
…
…
A. $492,764
B. $716,155
C. $602,968
D. $786,856
Please show steps as to how you got the answer, thank you!
scenarios under the historical simulation. What is the one-day 99%
expected shortfall?
Scenario Number
Loss ($000s)
131
1,082.969
494
715.512
227
687.720
98
661.221
329
602.968
339
546.540
74
492.764
193
470.092
487
458.177
131
1,082.969
494
715.512
227
687.720
98
661.221
329
602.968
339
546.540
…
…
A. $492,764
B. $716,155
C. $602,968
D. $786,856
Please show steps as to how you got the answer, thank you!