expected shortfall

  1. J

    Calculation of Tail VaR in ES and Normal Deviate in Spectral Measure

    Hello, I have just started with the first instructional video of part 2, covering market risk measures. In the ES calculation, I do understand the concept, but what is confusing me after many hours of trying to figure it out, is the calculation of the tail VaRs. For example, for the 99% CL...
  2. David Harper CFA FRM

    Problems in GARP's 2020 FRM material

    I will post here selected observations made (either by myself or subscribers/members) about the newest material. As most already know, the entire Part 1 FRM has experienced a big change, but the change can be deceiving in appearance because as I replied over on the reddit FRM board, with respect...
  3. N

    FRTB, ES waterfall practical application

    Hello, everyone For proposed IMA approach with the ES waterfall we have for example the following calculation: "ES2 is calculated as a 10-day shock in categories 2-5, holding category 1 constant". I cannot understand how this is done in practical terms. So, we have selected the 250-day...