1.

Expected shortfall (ES) is a risk measure—a concept used in the field of financial risk
measurement to evaluate the market risk or credit risk of a portfolio. The "expected shortfall at
q% level" is the expected return on the portfolio in the worst q% of cases. so, ES is an alternative
to value at risk that is more sensitive to the shape of the tail of the loss distribution
2. There is a 5% chance that you will lose $6,000 or more during a one month period.
3. a. 2 x 1.96 = $ 3.92 million
b.√5 x 2 x 1.96 = $ 8.77 million
c.√5x 2 x 2.33 = 10.40 million
4. 4.Incremental value at risk is the amount of uncertainty added to or subtracted from a portfolio
by purchasing a new investment or selling an existing investment.
BELUM KELAR
5. Bunching is a separate issue from the number of exceptions. if daily portfolio changes are
independent, exceptions should be spread evenly throughout the period used for back-testing.
in practice, they are often bunched together, suggesting that losses on successive days are not
independent.
6. The correct multiplier for the variance is 10 + 2 × 9 × 0.12 + 2 × 8 × 0.122+ 2 × 7 × 0.123+ . . . + 2
× 0.129= 12.417
The estimate of VaR should be increased to 212.417 /10u= 2.229
7. In this case p = 0.01, m = 15, n = 1000.
Kupiec’s test statistic is:
−2 ln[0.999985 × 0.0115] + 2 ln[(1 − 15/1000)985 × (15/1000)15] = 2.19
This is less than 3.84.
We should not therefore reject the model.