NO.PZ2023100703000007
问题如下：
After estimating the 99%, 1-day VaR of a bank’s portfolio to be USD 1,484 using historical simulation with 1000 past trading days, you are concerned that the VaR measure is not providing enough information about tail losses. You decide to re-examine the simulation results and sort the simulated daily P&L from worst to best giving the following worst 15 scenarios:
What is the 99%, 1-day expected shortfall of the portfolio?
选项：
A.USD 433 B.USD 1,285 C.USD 1,945 D.USD 2,833解释：
Expected Shortfall = Average of the worst 10 daily P&L= USD 1945请问为什么算的是Average of the worst 10 daily P&L，而不是算的1000*1%+1=11的平均值？
