...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

Question

Quizplus · Accepted Answer

The expected shortfall (also known as expected tail loss) measures the average loss beyond the value-at-risk (VaR) threshold, in this case, the 99th percentile. It is a more robust risk metric than VaR alone because it takes into account the magnitudes of losses beyond the VaR threshold, rather than just the likelihood of exceeding that threshold. The RiskMetrics method, regular VaR, and covariance model do not directly measure the average loss in the tail beyond the 99th percentile.

Tells Us the Average of the Losses in the Tail