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Expected shortfall is generally suggested as a better alternative than VaR during market turmoil. Which of the following statements regarding VaR and ES is true?
AES leads to more required economic capital than VaR does for the same confidence level.
BWhile VaR ensures that the estimate of portfolio risk is less than or equal to the sum of the risks of that portfolio’s positions, ES does not.
CBoth VaR and ES account for the severity of losses beyond the confidence threshold.
DES is relatively easier to backtest than VaR.
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