expected-shortfall

In our previous video, we showed how we retrieve expected shortfall under the simplest possible discrete case. That was a simple historical simulation, but that was discrete. In this video, we will review the expected shortfall when the distribution is continuous. Specifically, we will use the...

In this video, David shows us exactly how we calculate expected shortfall under basic historical simulation. Expected shortfall is both desirable and timely. It's desirable because it is coherent, satisfies all four conditions of coherence, including subadditivity, whereas var does not. Second...

For a portfolio that is concerned with risk in both directions (ie. short straddles/strangles, or maybe someone managing a margin book at a brokerage) would you take the absolute value of historical returns and rank them from largest to smallest to get CVAR? Or is this unacceptable? Thanks in...

Hi @David Harper CFA FRM, Perhaps this is a question for the broad community and I would like to ask sth. very specific about the indicator function on p.66 in Dowd's book "Measuring market risk" He writes that "the ES gives all tail-loss quantiles an equal weight, and other quantiles aweight...

Hi, I am new to asking in the forum and presently didn't understand the calculation of 95% ES for a single bond? In the calculation here: [2% * 1 + (5%-2%) * 0] /5% 1. What are 1 and 0 in the above calculation: I thought it to be payoffs, Is it correct? 2. I assumed 2% is the default...

Hi All, I am referring to question 411.3 from the quiz: Can someone please tell how to get to the loss of 200,000; 150,000 and 110,000 respectively? 411.1: I am wondering why for this question only the worst four losses are relevant for the ES? It has nothing to do with the prob. weights...

Hi, Would anyone help me with the math of expected shortfall calculation. Thanks and Regards, Kavita