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Given the VaR value and the parameter assumptions, which of the following is correct?
A
Keeping all other parameters constant, increasing the value of the tail index lowers both the ES and the VaR.
B
Keeping all other parameters constant, increasing the loss threshold level increases both the ES and the VaR.
C
The value of ES is 4.57%
D
The value of ES is 5.71%
