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) -- Further Questions -- 12 Value at Risk and Expected Shortfall -- 12.1 Definition of VaR -- 12.2 Examples of the Calculation of … VaR -- 12.3 A Drawback of VaR -- 12.4 Expected Shortfall -- 12.5 Coherent Risk Measures -- 12.5.1 Exponential Spectral … Risk Measures -- 12.6 Choice of Parameters for VaR and ES -- 12.6.1 The Time Horizon -- 12.6.2 Impact of Autocorrelation …