1 (Expected Shortfall) Suppose the price of an asset Pt follows a normal random walk, i.e., Pt = Po+r1 + ... + rt with r1, r2,... being IID N(μ, o2). Po+r1+. ⚫ Suppose the VaR of rt is VaRq(rt) at level q, find the VaR of the price in T days, i.e., VaRq(Pt – Pt–T). - • If ESq(rt) = A, find ES1(Pt – Pt–T).

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