To measure market risk at the 1 percent level of risk,what is the scaling factor for the value at risk (VAR)and the expected shortfall (ES)respectively?

Name: To measure market risk at the 1 percent level of risk,what is the scaling factor for the value at risk (VAR)and the expected shortfall (ES)respectively?
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Quizplus · Accepted Answer

The scaling factor for Value at Risk (VaR) at the 1% level is 2.33, and for Expected Shortfall (ES) at the 1% level, it is approximately 2.665.

To Measure Market Risk at the 1 Percent Level of Risk,what