Reference no: EM13505672
Given the following 30 ordered percentage returns of an asset, calculate the VAR and expected shortfall at a 90% confidence level: -16,-14,-10,-7,-7,-5,-4,-4,-4,-3,-1,-1,0,0,0,1,2,2,4,6,7,8,9,11,12,12 ,14,18,21,23.
A. VAR (90%) = 10, expected shortfall = 14
B. VAR (90%) = 10, expected shortfall = 15
C. VAR (90%) = 14, expected shortfall = 15
D. VAR (90%) = 18, expected shortfall = 22
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