小編導(dǎo)讀：高頓FRM題庫——全球財經(jīng)*9題庫（精題真題、全真模考系統(tǒng)、名師答疑）>>>點擊進入“每日一練——免費在線測試”
　　Given the following 30 ordered simulated percentage returns of an asset, calculate the VaR and expected shortfall (both expressed in terms of returns) 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
　　Answer: B
　　10% of the observations will fall at or below the 3rd lowest observation of the 30 listed. Therefore, the VaR equals 10. The expected shortfall is the mean of the observations exceeding the VaR. Thus, the expected shortfall equals: .