Dear David,
I’ve had some confusion, misunderstanding and doubts when doing 09 Level II Annotated Power Practice. Appreciate your kind help on this!
In your calculation of Expected Shortfall (ES) at 95% confidence level from question 40f (see below), you seem to have divided the first cutoff loss between 95% and 96.2% since this loss actually sits at 96.2% level. Can you elaborate how this can be divided?
40f. [bonus] What is the expected shortfall (ES) at 95% confidence? See calcs above, to get the 95% ES, we need to solve for the average loss in the 5% tail. ES (@ 95%) = [(1.2%)($1,200) + (2.4%)($2,424) + (1.2%)($1,320) + (0.2%)($400)] / 5% = $106,880 (note: 1.2% = 96.2% - 95% “cutoff”)
Thank you for your enlightenment and correction!
Cheers
Liming
16/11/09
I’ve had some confusion, misunderstanding and doubts when doing 09 Level II Annotated Power Practice. Appreciate your kind help on this!
In your calculation of Expected Shortfall (ES) at 95% confidence level from question 40f (see below), you seem to have divided the first cutoff loss between 95% and 96.2% since this loss actually sits at 96.2% level. Can you elaborate how this can be divided?
40f. [bonus] What is the expected shortfall (ES) at 95% confidence? See calcs above, to get the 95% ES, we need to solve for the average loss in the 5% tail. ES (@ 95%) = [(1.2%)($1,200) + (2.4%)($2,424) + (1.2%)($1,320) + (0.2%)($400)] / 5% = $106,880 (note: 1.2% = 96.2% - 95% “cutoff”)
Thank you for your enlightenment and correction!
Cheers
Liming
16/11/09
