Estimating coherent risk measures

[ckyeh]

Dear David:

On your webnair「2010-5-d-Market-Risk」, page 21:
I couldn’t get where the weights come from.
How to get the Risk measure 0.4227 ?
I already tried hard to get it, but failed.
Please give me some hints. Thanks a lot!

 

[David Harper CFA FRM]

Hi ckyeh,

Here is my spreadsheet, I was merely replicating Dowd Table 3.3:
http://db.tt/CkJEtA7

He supplies the weighting function (spectral-exponential) that he uses (Dowd 2.10 formula), so i implemented thusly:
=EXP(-((1-p)/gamma))/(gamma*(1-EXP(-1/gamma)))

(sorry you tried to figure out ... that would be i think impossible to divine)

David