Graduate Value at Risk, Conditional Value at Risk, expected shortfall

  • Thread starter Thread starter monsmatglad
  • Start date Start date
  • Tags Tags
    Conditional Value
Click For Summary
The discussion focuses on understanding the numerator in the formula for expected shortfall or conditional Value at Risk (CVaR) when the probability level is set at p=0.01. The user expresses confusion about how to calculate this numerator without a clear formula provided. There is a need for clarification on the expected shortfall calculation, particularly in the context of risk management. The conversation highlights the importance of precise formulas in financial risk assessment. Overall, the thread seeks to enhance comprehension of CVaR calculations in practical applications.
monsmatglad
Messages
75
Reaction score
0
I am working on Value at Risk and expected shortfall/conditional Value at Risk.The formula I have is this:
0

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?
 
Physics news on Phys.org
I don't see a formula
 
magoo said:
I don't see a formula
0
 

Thread 'Hypothesis testing: Defining H0, HA hypotheses so that ( H_A)_A' makes sense'

The standard _A " operator" maps a Null Hypothesis Ho into a decision set { Do not reject:=1 and reject :=0}. In this sense ( HA)_A , makes no sense. Since H0, HA aren't exhaustive, can we find an alternative operator, _A' , so that ( H_A)_A' makes sense? Isn't Pearson Neyman related to this? Hope I'm making sense. Edit: I was motivated by a superficial similarity of the idea with double transposition of matrices M, with ## (M^{T})^{T}=M##, and just wanted to see if it made sense to talk...
View full post »

Similar threads

Undergrad Expected value of X~Geom(p) given X+Y=z
  • · Replies 5 ·
Replies
5
Views
2K
Undergrad Help Needed: Probability Problem in Risk Management Calculcations
  • · Replies 4 ·
Replies
4
Views
2K
Undergrad Is this conditional expectation identity true?
  • · Replies 1 ·
Replies
1
Views
2K
Undergrad Difference between relative risk and odds ratio
  • · Replies 7 ·
Replies
7
Views
3K
High School How Can We Compare Two Means to Test the Effectiveness of Diet A on Weight Loss?
  • · Replies 20 ·
Replies
20
Views
2K
Undergrad How to implement proper error estimation using MC
  • · Replies 3 ·
Replies
3
Views
3K
Undergrad Proper understanding of p-value
  • · Replies 5 ·
Replies
5
Views
2K
Graduate Confused about magnitude of error
  • · Replies 18 ·
Replies
18
Views
3K
Undergrad Help me understand skewness in QQ-plots please
  • · Replies 1 ·
Replies
1
Views
2K
High School The expectation value of superimposed probability functions
  • · Replies 11 ·
Replies
11
Views
2K