Financial Risk Manager Part 2
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To enhance your understanding before modifying the existing risk assessment strategies at an investment bank that currently utilizes Value at Risk (VaR), what key concepts and details regarding both VaR and Expected Shortfall (ES) should you be aware of?
A
For the same confidence level, ES is always greater than VaR.
B
If a VaR backtest at a specified confidence level is accepted, then the corresponding ES will always be accepted.
C
While VaR ensures that the estimate of portfolio risk is less than or equal to the sum of the risks of that portfolio's positions, ES does not.
D
While ES is more complicated to calculate than VaR, it is easier to backtest than VaR.