Calculating Expected Shortfall

[yalda]

ES of all individual stocks have been calculated as attached file:

thanks

 

[Aditya Bhat]

@David Harper CFA FRM hi, while calculating expected shortfall using historical simulation, if VAR is the 5th lowest return then is expected shortfall the 4th lowest return?

 

[David Harper CFA FRM]

@Aditya Bhat No, ES is an average of some percentage of the loss tail. Please see my comment here https://forum.bionicturtle.com/threads/problems-in-garps-2020-frm-material.23011/post-80533 and/or search "expected shortfall"

(we also have a tag https://forum.bionicturtle.com/tags/expected-shortfall-2/)