问一道题：NO.PZ2016070201000003

问题如下：

Which of the following statements about expected shortfall estimates and coherent risk measures are true?

选项：

Expected shortfall and coherent risk measures estimate quantiles for the entire loss distribution.

Expected shortfall and coherent risk measures estimate quantiles for the tail region.

Expected shortfall estimates quantiles for the tail region and coherent risk measures estimate quantiles for the non-tail region only.

Expected shortfall estimates quantiles for the entire distribution and coherent risk measures estimate quantiles for the tail region only.

解释：

B is correct. ES estimates quantiles for n-1 equal probability masses in the tail region only. The coherent risk measure estimates quantiles for the entire distribution including the tail region.