#### caramel

##### Member

I was a little confused and after reading thr was another thread , I was wondering if this is another Garp error

From the handbook FRM exam 2003 question 5

Given the following 30 ordered percentage returns of an asset, calculate the VAR and expected shortfall at a 90% confidence interval

-16, -14,-10, -7, -7,-5, -4, -4, -4, -3, -1, -1, 0,0, 0, .........................

Ans was given as VAR 10 and ES 15

the 10% lower cutoff point is the third lowest observation which is VAR =10 , the ES is then the avg the of the observations in the tails which is 15

this is different from the below thread.

http://www.bionicturtle.com/forum/t...all-and-coherent-risk-measures-market.4153/#e below thread post-16580