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?
A) 2.33 and 2.665
B) 1.65 and 2.063
C) 1.65 and 2.665
D) 2.33 and 2.063
E) none of the options is the correct scaling factor.
Correct Answer:
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