The use of expected shortfall es to measure market risk of


The use of expected shortfall (ES) to measure market risk of a portfolio assumes which of the following?

There is a very small sample size (<30 observations) used to estimate probability distributions.

That the probability distribution is skewed to the left.

That changes in asset prices are normally distributed but with fat tails.

That the probability distribution is skewed to the right.

That changes in asset prices follow a standard normal probability distribution.

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Risk Management: The use of expected shortfall es to measure market risk of
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