NO.PZ2018122701000008
问题如下：
A large commercial bank is using VaR as its main risk measurement tool. Expected shortfall (ES) is suggested as a better alternative to use during market turmoil. What should be understood regarding VaR and ES before modifying current practices?
选项：
A. Despite being more complicated to calculate,
ES is easier to backtest than VaR.
B. Relative to VaR, ES leads to more required
economic capital for the same confidence level.
C. While VaR ensures that the estimate of
portfolio risk is less than or equal to the sum of the risks of that
portfolio’s positions, ES does not.
D. Both VaR and ES account for the severity of
losses beyond the confidence threshold.
解释：
B is correct.
考点Expected Shortfall
解析Expected shortfall is always greater than or equal to VaR for a given confidence level, since ES accounts for the severity of expected losses beyond a particular confidence level, while VaR measures the minimum expected loss at that confidence level. Therefore, ES would lead to a higher level of required economic capital than VaR for the same confidence level. In practice, however, regulators often correct for the difference between ES and VaR by lowering the required confidence level for banks using ES compared to those using VaR.
同样的confidence level 下，比如95%下es比var大，那用es的银行想降低风险资本不是应该不是应该提升cofidence level，比如从95%到99%从而减少尾部数据，从而减小es么