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Consider the following information. You have purchased 10,000 barrels of oil for delivery in one year at a price of $25/barrel. The rate of change of the price of oil is assumed to be normally distributed with zero mean and annual volatility of 30%. Margin is to be paid within two days if the...

hello, The question ask about the expected shortfall and the solution said the VAR is 1428 while the ESF is 1861. The followings are the sorted 15 worst P&L from 1200 past days data. -2833, -2333, -2228, -2084, -1960, -1751, -1679, -1558, -1542, -1484, -1450, -1428, 1368, -1346, -1319...