Value at Risk, Conditional Value at Risk, expected shortfall

[monsmatglad]

I am working on Value at Risk and expected shortfall/conditional Value at Risk.The formula I have is this:

What I do not understand is numerator of the second part. If for example I want to look at an expected shortfall when p=0.01 (ignoring the average and the standard deviation). what value will the numerator have?

 

[magoo]

I don't see a formula

 

[monsmatglad]

I don't see a formula