NO.PZ2018122701000023
问题如下：
Which of the following is a true statement about expected shortfall (ES)?
选项：
A.ES is a coherent spectral measure which gives equal weight to the tail quantiles
B.ES is a coherent spectral measure which gives increasingly greater weight to higher tail quantiles
C.ES is a coherent spectral measure but gives decreasingly less weight to higher tail quantiles
D.ES is coherent, VaR is not coherent, and neither are spectral measures
解释：
A is correct.
考点: Coherent Risk Measures
解析: ES is a coherent spectral measure which gives equal weight to the tail quantiles. The general class is spectral measures, which contain a weighting function. Both ES and VaR are special cases of a spectral measure (the spectral function generalized both ES &VaR). Spectral measures are coherent under conditions that are met by ES but not by VaR; "Spectral" is associated with, but does not necessarily imply, coherence.
Spectral measures are coherent under conditions that are met by ES but not by VaR; "Spectral" is associated with, but does not necessarily imply, coherence.
老师能解释一下最后一句话吗
