spectral-risk-measures
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spectral risk measure weighting
In P1. T4.Chp1 section on Weighting and Spectral risk measures I do not follow the intuition behind this section at all. I understand the point where out of the two investments A and B that B would have a larger expected shortfall since the losses of B can be 10 times the VaR level even when the...- andrnev
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- expected shortfall spectral-risk-measures
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- Forum: P1.T4. Valuation & Risk Models (30%)
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P1.T4.810. Spectral risk measures, especially Expected Shortfall (ES) (Dowd Ch.2)
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...- Nicole Seaman
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- coherent-risk-measures expected-shortfall scenario-analysis spectral-risk-measures
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- Forum: FRM® Practice Questions