Which of the following is true
A) Expected shortfall is always less than VaR
B) Expected shortfall is always greater than VaR
C) Expected shortfall is sometimes greater than VaR and sometimes less than VaR
D) Expected shortfall is a measure of liquidity risk wheras VaR is a measure of market risk

Question

Quizplus · Accepted Answer

Expected shortfall and VaR can both measure market risk.Expected shortfall is the expected loss level conditional on the loss level being greater than VaR.By definition expected shortfall must be greater than VaR.

Which of the Following Is True