Question 1
Which of the following best defines Value at Risk (VaR)?
Question 2
A portfolio has a 1-day 95\% VaR of $$10,000. What does this mean?
Question 3
Which of the following is a limitation of Value at Risk (VaR)?
Question 4
What does Expected Shortfall (ES) measure?
Question 5
If a portfolio has a 99\% VaR of 50,000 and an Expected Shortfall at 99\% of $75,000, what does the Expected Shortfall tell us in addition to VaR?
