Financial Risk Manager Part 2
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A risk assessment professional at a financial institution has been assigned the task of evaluating the institution's current risk assessment methodologies. The institution primarily relies on Value at Risk (VaR) as its main metric for risk assessment. However, the professional believes that Expected Shortfall (ES) may be a more effective metric, especially during periods of market turbulence. Considering the comparison between VaR and ES, which of the following statements is true?