Hi @David Harper CFA FRM
In the formula sheet page 21, it looks like expected shortfall column is incorrect. It appears to be dividing by (n - 1) losses in excess of the VaR instead of n.
Updated by Nicole to add image of formula sheet being referenced
I was wondering why the numbers in columns NC and ND do not sum to 2 and 8? The attached file contains a spreadsheet with my calculation of Kendall's Tau using your example data.
Thanks for your help.