Question
Suppose that each of two investments has a 4% chance of a loss of R15 million, a 1% chance of a loss of R1.5 million
Suppose that each of two investments has a 4% chance of a loss of R15 million, a 1% chance of a loss of R1.5 million and a 95% chance of a profit of $1.5 million. They are independent of each other. Calculate the expected shortfall (ES) when the confidence level is 95%?
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Computational Finance And Its Applications
Authors: C. A. Brebbia, M. Costantino
1st Edition
1853127094, 978-1853127090
