#### wrongsaidfred

##### Member

The reading states that when using expected shortfall, "all losses in the tail are given the same weight", yet the discrete formula states:

ES= (1/(1-alpha))* SIGMA[ pth highest loss * probability of pth highest loss].

Doesn't this mean that each loss is weighted by its probability? Am I reading something incorrectly or is there an inconsistency here?

I thought that the whole point of the section on generalized spectral measures is that different weights can be given to each of the possible outcomes, but it seems like that is exactly what this formula for ES is doing.

Any explanation would be greatly appreciated.

Thanks,

Mike