tail var
-
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...- Jul Jul
- Thread
- expected shortfall normal deviate spectral measure tail var z-score
- Replies: 5
- Forum: P2.T5. Market Risk (25%)