答案是“尾部数据的加权平均”

问题如下：

How is expected shortfall defined?

选项：

A.

The average loss over a given time horizon.

B.

The maximum possible loss over a given time horizon.

C.

The expected loss conditional on the loss being greater than the VaR level.

D.

The loss that will not be exceeded with a certain probability.

解释：

The expected shortfall is the expected loss conditional on the loss being greater than the VaR level.

expected shortfall的定义是什么？

尾部数据的加权平均。