expected shortfall

  1. A

    spectral risk measure weighting

    In P1. T4.Chp1 section on Weighting and Spectral risk measures I do not follow the intuition behind this section at all. I understand the point where out of the two investments A and B that B would have a larger expected shortfall since the losses of B can be 10 times the VaR level even when the...
  2. A

    How to calculate ES (P1.T4.EOC 1.17 and P1.T4.EOC 2.5)

    There seems to be different ways to calculate the ES, depending, for example, whether the returns are continuous or discrete (I think). In P1, T4, Chapter 1 EOC 1.17 the question goes "An investment has a uniform distribution where all outcomes between -40 and +60 are equally likely. What are...
  3. J

    Calculation of Tail VaR in ES and Normal Deviate in Spectral Measure

    Hello, I have just started with the first instructional video of part 2, covering market risk measures. In the ES calculation, I do understand the concept, but what is confusing me after many hours of trying to figure it out, is the calculation of the tail VaRs. For example, for the 99% CL...
  4. N

    FRTB, ES waterfall practical application

    Hello, everyone For proposed IMA approach with the ES waterfall we have for example the following calculation: "ES2 is calculated as a 10-day shock in categories 2-5, holding category 1 constant". I cannot understand how this is done in practical terms. So, we have selected the 250-day...
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