ACI Dealing Certificate (#74)

Which one of the following best describes expected shortfall/conditional value-at-risk at the 95% level?

the expected loss on the portfolio in the worst 95% of cases
the expected loss in those cases where the loss exceeds the VaR at the 95% level
the maximum loss in those cases where the loss exceeds the VaR at the 95% level
the expected loss in those cases where the loss exceeds the VaR at the 5% level