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What about Expected Shortfall? The universal definition of ES in terms of expectations algebra is given as follows: ESC(X) = E[X|X VaR.(X)] -1-c ESC(X)
What about Expected Shortfall? The universal definition of ES in terms of expectations algebra is given as follows: ESC(X) = E[X|X VaR.(X)] -1-c ESC(X) = VaRu(X)du The actual ES calculation formula will vary depending on the distribution of P&L X, a random variable. Derive ES calculation formula for the case of Normal Distribution using the result VaR(X) = + (1 c) x .
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Thermodynamics Concepts And Applications
Authors: Stephen R. Turns, Laura L. Pauley
2nd Edition
1107179718, 9781107179714
