
Explanation:
Recall that:
And
Therefore:
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Q.2957 Assuming that we are given the following parameters based on the empirical values from contracts on futures clearing companies: , , , . Compute the VaR and the Expected Shortfall at 99.5%, respectively.
A
VaR: 1.674; Expected Shortfall: 2.453
B
VaR: 4.856; Expected Shortfall: 5.905
C
VaR: 1.453; Expected Shortfall: 2.420
D
VaR: 1.667; Expected Shortfall: 2.554
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