Do we need to memorize the complex formula for ES in the book which involves pi (√2π) and standard normal distribution estimates? I have never seen this one being used in any of the questions I have done...
No I don't think so... better we have to know why ES is a risk spectral measure and why VaR is not (i.e. the weight which is given to the tail distribution, for VaR the weight is not strictly an increasing function ; VaR is not a risk spectral measure). Also we have to know how to calculate ES quantity VS VaR quantity. Finally, other important point if P/L distribution is not normal then VaR is not sub-additive while ES is always sub-additive ...
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