EXPECTED SHORTFALL

[srinu2singaraju]

Hi David,

Question From FRM 2010 November exam (values are not exactly correct.)
If we were given values for various confidence levels starting from 95.50% to 99% and we have to calculate expected shortfall at 95% confidence level. How can we do this?

Confidence Level VAR
95.50% 1000
96.00% 1200
96.50% 1300
97.00% 1400
97.50% 1500
98.00% 1600
98.50% 1700
99.00% 1800

Question is basically how to calculate expected shortfall from a VaR given from 0.5% intervals.
I only know the calculation at 1% intervals.
You can also explain with your own example.The above values are only my inputs.

Thanks
Srinivas

 

[srinu2singaraju]

Hi David,

Please help me on the above doubt.

Regards
Srinivas