expected shortfall

  1. A

    How to calculate ES (P1.T4.EOC 1.17 and P1.T4.EOC 2.5)

    There seems to be different ways to calculate the ES, depending, for example, whether the returns are continuous or discrete (I think). In P1, T4, Chapter 1 EOC 1.17 the question goes "An investment has a uniform distribution where all outcomes between -40 and +60 are equally likely. What are...
  2. 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...
  3. 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...
  4. 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...
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