coherent risk measures

问题如下：

The following statements are about the expected shortfall and coherent risk measures, which one is correct?

选项：

A.

Both expected shortfall and coherent risk measure evaluate the quantile of the whole return distributions.

B.

Expected shortfall measures subdivisions in the tail region, while coherent risk measure measures quantile of all regions.

C.

Expected shortfall measures subdivisions of the tail region, while coherent risk measure measures subdivisions of the non-tail region only.

D.

Coherent risk measurel measures subdivisions in the tail region, while expected shortfall measures quantile of all regions.

解释：

B is correct.

考点：Coherent Risk Measure

解析：expected shortfall 衡量的是尾部区域的情况，但是Coherent Risk Measure衡量的是所有区域分布的情况。