I am new to asking in the forum and presently didn't understand the calculation of 95% ES for a single bond?
In the calculation here: [2% * 1 + (5%-2%) * 0] /5%
1. What are 1 and 0 in the above calculation: I thought it to be payoffs, Is it correct?
2. I assumed 2% is the default...
I am referring to Dowd's footnote:
'HS fails to take account of useful information from the upper tail of the P/L distribution. If the stock experiences a series of large falls, then a position that was long the market would experience large losses that should show up, albeit later...
studying the computation of se(q) for the confidence interval of a coherent risk measure (here VaR) in the GARP books, I noticed two inconsistencies.
1. f(q) is indicated as "= 1-0.9446-0.0450" while I believe it would only make sense to compute it as "f(q)=1-(0.9446-0.0450)", i.e...