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expected-shortfall

  1. N

    Expected Shortfall

    For a portfolio that is concerned with risk in both directions (ie. short straddles/strangles, or maybe someone managing a margin book at a brokerage) would you take the absolute value of historical returns and rank them from largest to smallest to get CVAR? Or is this unacceptable? Thanks in...
  2. E

    Indicator function - Expected shortfall

    Hi @David Harper CFA FRM, Perhaps this is a question for the broad community and I would like to ask sth. very specific about the indicator function on p.66 in Dowd's book "Measuring market risk" He writes that "the ES gives all tail-loss quantiles an equal weight, and other quantiles aweight...
  3. Nicole Seaman

    P1.T4.810. Spectral risk measures, especially Expected Shortfall (ES) (Dowd Ch.2)

    Learning objectives: Explain and calculate Expected Shortfall (ES), and compare and contrast VaR and ES. Describe spectral risk measures, and explain how VaR and ES are special cases of spectral risk measures. Describe how the results of scenario analysis can be interpreted as coherent risk...
  4. Nicole Seaman

    P2.T5.708. Expected shortfall (Dowd Chapter 3)

    Learning objective: Estimate the expected shortfall given P/L or return data. Questions: 708.1. A hedge fund's daily P/L for the last 300 trading days is plotted below in a histogram where the bin width is $0.20. Additionally, the worst 20 daily losses are sorted explicitly below the...
  5. S

    Query about ES calculation in Dowd Study Guide Page 15

    Hi, 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...
  6. Nicole Seaman

    P2.T5.702. Nonparametric value at risk (VaR)

    Concept: These on-line quiz questions are not specifically linked to learning objectives, but are instead based on recent sample questions. The difficulty level is a notch, or two notches, easier than bionicturtle.com's typical question such that the intended difficulty level is nearer to an...
  7. Nicole Seaman

    P2.T5.701. Value at risk (VaR) and expected shortfall (ES)

    Concept: These on-line quiz questions are not specifically linked to learning objectives, but are instead based on recent sample questions. The difficulty level is a notch, or two notches, easier than bionicturtle.com's typical question such that the intended difficulty level is nearer to an...
  8. Nicole Seaman

    P2.T7.609. Fundamental Review of the Trading Book: expected shortfall and credit trades (Hull)

    Learning objectives: Compare the various liquidity horizons proposed by the FRTB for different asset classes and explain how a bank can calculate its expected shortfall using the various horizons. Explain proposed modifications to Basel regulations in the following areas: classification of...
  9. E

    P1.T4.411. Expected shortfall (ES)

    Hi All, I am referring to question 411.3 from the quiz: Can someone please tell how to get to the loss of 200,000; 150,000 and 110,000 respectively? 411.1: I am wondering why for this question only the worst four losses are relevant for the ES? It has nothing to do with the prob. weights...
  10. K

    Expected shortfall calculation

    Hi, Would anyone help me with the math of expected shortfall calculation. Thanks and Regards, Kavita
  11. Nicole Seaman

    P1.T4.411. Expected shortfall (ES)

    Concept: These on-line quiz questions are not specifically linked to AIMs, but are instead based on recent sample questions. The difficulty level is a notch, or two notches, easier than bionicturtle.com's typical AIM-by-AIM question such that the intended difficulty level is nearer to an actual...
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