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ABC Bank believes that the underlying distribution of its loan returns should follow a normal distribution with a mean of 10 and a standard deviation of 3. The following table identifies tail VARs at different confidence levels. Assume the initial analysis uses five tail slices. Calculate the expected shortfall at the 97% confidence level and identify the effect on ES when the number of tail slices increases.
AExpected Shortfall: 4.117, Increasing Slices: ES increases
BExpected Shortfall: 4.117, Increasing Slices: ES decreases
CExpected Shortfall: 4.375, Increasing Slices: ES increases
DExpected Shortfall: 4.375, Increasing Slices: ES decreases
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