NO.PZ2023100703000008
问题如下：
A mutual fund has USD 50 billion in assets. The risk manager computes the daily VaR at various confidence levels as follows:
What is the closest estimate of the daily expected shortfall at the 97.5% confidence level?
选项：
A.USD 821 million B.USD 895 million C.USD 919 million D.USD 1023 million解释：
An estimate of the expected shortfall can be obtained by taking the average of the VaRs for the various confidence levels that are greater than 97.5%.This leads to an estimate of USD 1,023,000,000.这个题是大于97.5%的四个损失求平均，之前有道题又是包括97.5%的五个损失求平均，到底怎么算？
