What is expected shortfall

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Reference no: EM131770352

Question: What is Expected Shortfall? Similarities and differences from Value @ risk? Using an assumed example, show how expected shortfall and VAR concept helps financial institutions manage interest rate risk? What are there uses and advantages? Why Basel 3 recommending Expected loss while Basel 1 recommended var? Is expected shortfall a more optimal measure for Bank's capital? Why or Why not? How to address the shortcomes of Expected Shortfall?

Reference no: EM131770352

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