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Which one of the following best describes expected shortfall/conditional value-at-risk at the 95% level?

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Which one of the following best describes expected shortfall/conditional value-at-risk at the 95% level?

A.

the expected loss on the portfolio in the worst 95% of cases

B.

the expected loss in those cases where the loss exceeds the VaR at the 95% level

C.

the maximum loss in those cases where the loss exceeds the VaR at the 95% level

D.

the expected loss in those cases where the loss exceeds the VaR at the 5% level

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