Hello,
In reviewing the Part 2 Formula sheet, I had a question regarding the ES calculation on page 21. It appears that ES is calculated by summing from the confidence level of interest and up and dividing by not "n" but "n-1" VaR points. Why is this not calculated by dividing by "n" points?
Thanks,
Mike
In reviewing the Part 2 Formula sheet, I had a question regarding the ES calculation on page 21. It appears that ES is calculated by summing from the confidence level of interest and up and dividing by not "n" but "n-1" VaR points. Why is this not calculated by dividing by "n" points?
Thanks,
Mike