Explanation:
Statement I is correct. Expected Shortfall is a coherent risk measure, while VaR is not because it fails the subadditivity criteria.
Statement II is incorrect. Expected Shortfall provides the value of expected losses and not the range.
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Q.74 Which of the following statements is (are) accurate?
I. VaR is not a coherent risk measure while Expected Shortfall is
II. Although the calculation of Expected Shortfall is more difficult, it provides a narrower range of expected losses than VaR does under the same significance level
A
Both I and II
B
I only
C
II only
D
None of the above
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