Expected shortfall to measure market risk of portfolio

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Reference no: EM131947279

The use of expected shortfall (ES) to measure market risk of a portfolio assumes which of the following?

There is a very small sample size (<30 observations) used to estimate probability distributions.

That the probability distribution is skewed to the left.

That changes in asset prices are normally distributed but with fat tails.

That the probability distribution is skewed to the right.

That changes in asset prices follow a standard normal probability distribution.

Reference no: EM131947279

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