Expected Shortfall

[srinu2singaraju]

Hi David,

Level 2
In the video 5.D, Slide 19, (Dowd, Chapter 3)

How did we get the expected shortfall as 6027?
Beyond 99% VAR the observed vales are 2988, 3039 and the average of these is 3013.50.
How did we arrive 6027?
Can you provide any excel sheet (if possible…) for better understanding?
Thanks in advance

regards
srinivas

 

[David Harper CFA FRM]

Hi srinivas,

Here is the spreadsheet: http://db.tt/cHRF2t (the link above the embed points directly to XLS)

It is from Dowd's book/XLS. But you made a great observation that i completely missed (oops): the average appears to be incorrectly calculated. So in your example, the calc is (2988 + 3039) / 1 but should be (2988 + 3039) / 2

... I will check just to confirm (e.g., in case it is some kind of sample estimator tweak, but i don't think so: on a straight conditional average, you must be correct). Great observation, nice catch!
... please let me know if the XLS changes your mind and you think this isn't an error, but i think it's an error

David

 

[srinu2singaraju]

Hi David,

I have gone thru the excel sheet. In that we need to change the denominator as 200-A208.
Then only it will take two values.
please correct me if i am wrong.


regards
srinivas