Question
2. Suppose you have data on a portfolios most recent 1000 excess return observations. The lowest 15 observations are: -40%, -38%, -35%, -33%, -30%, -
2. Suppose you have data on a portfolios most recent 1000 excess return observations. The lowest 15 observations are: -40%, -38%, -35%, -33%, -30%, - 28%, -27%, -26%, -25%, -22%, -20%, -18%, -17%, -15%, -13%. What is your 1% Expected Shortfall?
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Financial Analysts Indispensable Pocket Guide
Authors: Ram Ramesh
1st Edition
0071361561, 978-0071361569
