Value at Risk, Conditional Value at Risk, expected shortfall

monsmatglad · Mar 9, 2018

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 · Mar 9, 2018

I don't see a formula

monsmatglad · Mar 11, 2018

magoo said:

I don't see a formula

Value at Risk, Conditional Value at Risk, expected shortfall

Discussion

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Value at Risk, Conditional Value at Risk, expected shortfall

Discussion

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