Financial Risk Manager Part 1

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Explanation:

VaR can be calculated as the $[(1 - 0.9) \times 30] = 3^{\text{rd}}$ worst observation, which is -14 and hence the VaR is 14.

The ES is the arithmetic average of losses that are worse than the VaR. Thus,

\text{ES} = \frac{(18 + 16)}{2} = 17

Explanation:

VaR can be calculated as the $[(1 - 0.9) \times 30] = 3^{\text{rd}}$ worst observation, which is -14 and hence the VaR is 14.

The ES is the arithmetic average of losses that are worse than the VaR. Thus,

\text{ES} = \frac{(18 + 16)}{2} = 17

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Last updated: May 21, 2026 at 04:19

Var: 14; ES: 17

Var: 14; ES: 16

Var: 12; ES: 16

Var: 12; ES: 24