计算expected shortfall是用加权平均算法计算的，这里是说等额权重，请问这是矛盾吗

问题如下：

ES is a special case of the risk spectrum measure where:

选项：

A.

the weighting function is set for quantiles that all have an equal weight.

B.

the weighting function is set for tail losses that all have a weight of zero, and all other quantiles have an equal weight.

C.

the weighting function is set for tail losses that all have an equal weight, and all other quantiles have a

weight of zero.

D.

the weighting function is set for tail losses that all have different weights, and all other quantiles have an equal weight.

解释：

C is correct.

考点：Spectrum Risk.

解析：谱风险是考虑了所有的分位点，每一个分位点给一个权重，然后求一个加权平均来计算风险，谱风险相当于是给所有的损失求加权平均；而ES是给超过VaR的损失求算术平均，相当于ES是给了尾部损失一个相同的权重，而给了其它分位点的权重是0。从这个角度来看，ES可以看成是谱风险的一个特例。所以选C。