Financial Risk Manager Part 2
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A wealth management firm manages a portfolio valued at JPY 72 billion in assets under management. The portfolio manager calculates the daily Value at Risk (VaR) across various confidence levels, as presented in the table below:
| Confidence Level | VaR (USD) |
|---|---|
| 95.0% | 332,760,000 |
| 95.5% | 336,292,500 |
| 96.0% | 340,095,000 |
| 96.5% | 350,332,500 |
| 97.0% | 359,107,500 |
| 97.5% | 367,882,500 |
| 98.0% | 378,412,500 |
| 98.5% | 392,452,500 |
| 99.0% | 410,880,000 |
| 99.5% | 439,252,500 |
What is the most accurate approximation of the daily Expected Shortfall (ES) at the 97.5% confidence level for the FRM examination?