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For normally distributed P&L with zero mean and standard deviation $\sigma$ , the $97.5\%$ expected shortfall is $\sigma\,\varphi(z)/(1 - \alpha)$ with $z = 1.96$ . How many standard deviations is that, to three decimals?

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Risk models: covariance estimation, VaR and expected shortfall

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For normally distributed P&L with zero mean and standard deviation σ\sigmaσ, the 97.5%97.5\%97.5% expected shortfall is σ φ(z)/(1−α)\sigma\,\varphi(z)/(1 - \alpha)σφ(z)/(1−α) with z=1.96z = 1.96z=1.96. How many standard deviations is that, to three decimals?

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For normally distributed P&L with zero mean and standard deviation $\sigma$ , the $97.5\%$ expected shortfall is $\sigma\,\varphi(z)/(1 - \alpha)$ with $z = 1.96$ . How many standard deviations is that, to three decimals?