expected-shortfall

Learning objectives: Describe the changes to the Basel framework for calculating market risk capital under the Fundamental Review of the Trading Book (FRTB) and the motivations for these changes. Compare the various liquidity horizons proposed by the FRTB for different asset classes and explain...

Learning objectives: Apply the bootstrap historical simulation approach to estimate coherent risk measures. Describe historical simulation using non-parametric density estimation. Questions: 22.3.1. Which of the following is an essential difference between BASIC historical simulation and...

Learning objectives: Estimate VaR using a historical simulation approach. Estimate VaR using a parametric approach for both normal and lognormal return distributions. Estimate the expected shortfall given profit and loss (P/L) or return data. Questions: 22.1.1. Peter has collected the daily...

In our previous video, we showed how we retrieve expected shortfall under the simplest possible discrete case. That was a simple historical simulation, but that was discrete. In this video, we will review the expected shortfall when the distribution is continuous. Specifically, we will use the...

In this video, David shows us exactly how we calculate expected shortfall under basic historical simulation. Expected shortfall is both desirable and timely. It's desirable because it is coherent, satisfies all four conditions of coherence, including subadditivity, whereas var does not. Second...

For a portfolio that is concerned with risk in both directions (ie. short straddles/strangles, or maybe someone managing a margin book at a brokerage) would you take the absolute value of historical returns and rank them from largest to smallest to get CVAR? Or is this unacceptable? Thanks in...

Hi @David Harper CFA FRM, Perhaps this is a question for the broad community and I would like to ask sth. very specific about the indicator function on p.66 in Dowd's book "Measuring market risk" He writes that "the ES gives all tail-loss quantiles an equal weight, and other quantiles aweight...

Learning objectives: Explain and calculate Expected Shortfall (ES), and compare and contrast VaR and ES. Describe spectral risk measures, and explain how VaR and ES are special cases of spectral risk measures. Describe how the results of scenario analysis can be interpreted as coherent risk...

Learning objective: Estimate the expected shortfall given P/L or return data. Questions: 708.1. A hedge fund's daily P/L for the last 300 trading days is plotted below in a histogram where the bin width is $0.20. Additionally, the worst 20 daily losses are sorted explicitly below the...

Hi, I am new to asking in the forum and presently didn't understand the calculation of 95% ES for a single bond? In the calculation here: [2% * 1 + (5%-2%) * 0] /5% 1. What are 1 and 0 in the above calculation: I thought it to be payoffs, Is it correct? 2. I assumed 2% is the default...

Concept: These on-line quiz questions are not specifically linked to learning objectives, but are instead based on recent sample questions. The difficulty level is a notch, or two notches, easier than bionicturtle.com's typical question such that the intended difficulty level is nearer to an...

Concept: These on-line quiz questions are not specifically linked to learning objectives, but are instead based on recent sample questions. The difficulty level is a notch, or two notches, easier than bionicturtle.com's typical question such that the intended difficulty level is nearer to an...

Learning objectives: Compare the various liquidity horizons proposed by the FRTB for different asset classes and explain how a bank can calculate its expected shortfall using the various horizons. Explain proposed modifications to Basel regulations in the following areas: classification of...

Hi All, I am referring to question 411.3 from the quiz: Can someone please tell how to get to the loss of 200,000; 150,000 and 110,000 respectively? 411.1: I am wondering why for this question only the worst four losses are relevant for the ES? It has nothing to do with the prob. weights...

Hi, Would anyone help me with the math of expected shortfall calculation. Thanks and Regards, Kavita

Concept: These on-line quiz questions are not specifically linked to AIMs, but are instead based on recent sample questions. The difficulty level is a notch, or two notches, easier than bionicturtle.com's typical AIM-by-AIM question such that the intended difficulty level is nearer to an actual...