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  1. 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...