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Q-101. use the distribution of returns implied by market prices. Martingale Group has a large long position in the German equity stock index DAX which has a volatility smile that slopes downward to the right. How will the change in methodology affect the estimate of expected shortfall (ES)?
A
ES with the updated models will be larger than the old estimate.
B
ES with the updated models will be smaller than the old estimate.
C
ES will remain unchanged.
D
Insufficient information to determine.