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Mill Street Bank has accumulated a long history of loan returns. Mill Street believes that the underlying distribution of loan returns should follow a normal distribution with a mean of ten and a standard deviation of three. The following table identifies tail VARs at different confidence levels. Assume the initial analysis uses five tail slices. Calculate the expected shortfall at the 95% confidence level and identify the effect on ES when the number of tail slices increases.
AExpected Shortfall：3.72 （Increasing Slices）ES increases
BExpected Shortfall：3.72 （Increasing Slices）ES decreases
CExpected Shortfall：3.90 （Increasing Slices）ES increases
DExpected Shortfall：3.90 （Increasing Slices）ES decreases
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