NO.PZ2023100703000011
问题如下：
Assume that an operational process has a 5% probability of creating a material loss and, otherwise, no material loss is experienced (i.e., Bernoulli). If the material loss occurs, the severity is normally distributed with a mean of $4 million and standard deviation of $2 million. What is the 95% expected shortfall?
选项：
A.$0.71 million
B.$3.29 million
C.$4.00 million
D.$7.29 million
解释：
ES = E(L | L >VaR). In this case, the 95% ES is the expected loss conditional on the loss occurring, which coincides with the mean of the normal distribution.一点不会，麻烦讲下思路和方法
