Given the VaR value and the parameter assumptions, which of the following is correct?
A. Increasing the value of the tail index lowers both the ES and the VaR
B. Increasing the loss threshold level increases both the ES and the VaR
C. The value of ES is 4.57%
D. The value of ES is 5.71%
Answer:B
Given the VaR value and the parameter assumptions, which of the following is correct?
A. Increasing the value of the tail index lowers both the ES and the VaR B. Increasing the loss threshold level increases both the ES and the VaR C. The value of ES is 4.57% D. The value of ES is 5.71%
Explanation: B is correct (as can be seen from the formula below), increasing u increases both VaR and