B？

问题如下：

An investment bank has been using VaR as its main risk measurement tool. ES is suggested as a better alternative to use during market turmoil. What should be understood regarding VaR and ES before modifying current practices?

选项：

A.For the same confidence level, ES is always greater than VaR.

B.If a VaR backtest at a specified confidence level is accepted, then the corresponding ES will always be accepted.

C.While VaR ensures that the estimate of portfolio risk is less than or equal to the sum of the risks of that portfolio’s positions, ES does not.

D.While ES is more complicated to calculate than VaR, it is easier to backtest than VaR.

解释：

Expected shortfall is always greater than or equal to VaR for a given confidence level α, since α measures the minimum loss in case the worst α probability event happens and ES accounts for theseverity of expected losses beyond VaR.