True/False
For situations in which probability distributions exhibit fat tail losses, expected shortfall (ES) may look relatively small, but value at risk (VAR) may be very large.
Correct Answer:

Verified
Correct Answer:
Verified
Related Questions
Q33: The Monte Carlo simulation is a tool
Q34: The root cause of much of the
Q35: Considering the Capital Asset Pricing Model, which
Q36: The DEAR of a bank's trading portfolio
Q37: On December 31, 2015 Historic Bank had
Q39: Daily earnings at risk (DEAR) is defined
Q40: Income from trading activities of FIs is
Q41: An advantage of the historic or back
Q42: On December 31, 2015 Historic Bank had
Q43: Sumitomo Bank's risk manager has estimated that