Almost 6 years ago, I posted a brief comment on a sentence I found surprising, by that time, discovered in a report claiming that
the expected shortfall […] at the 99 % level corresponds quite closely to the […] value-at-risk at a 99.6% level
which was inspired by a remark in Swiss Experience report,
expected shortfall […] on a 99% confidence level […} corresponds to approximately 99.6% to 99.8% Value at Risk