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    Exam 9: Market Risk
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    Tells Us the Average of the Losses in the Tail
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Tells Us the Average of the Losses in the Tail

Question 44

Question 44

Multiple Choice

...tells us the average of the losses in the tail of the distribution beyond the 99th percentile.


A) Expected shortfall (also referred to as expected tail loss)
B) RiskMetrics method
C) Regular VaR
D) Covariance model

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