Hi David:
On Handbook 5th example 10.5 page 258:
Given the following 30 ordered percentage returns of an asset, calculate
the VAR and expected shortfall at a 90% confidence level: −16,−14,
−10,−7,−7,−5,−4,−4,−4,−3,−1,−1, 0, 0, 0, 1, 2, 2, 4, 6, 7, 8, 9, 11,
12, 12, 14, 18, 21, 23.
the answer is
b. VAR (90%) = 10, expected shortfall = 15
However, acoording to the equation: P(|L|>Var)≦1-c, I get P(|L|>7)≦10%.
Which one is the correct answer?
If VaR is 7, how to calculate expected shortfall?
Thanks
On Handbook 5th example 10.5 page 258:
Given the following 30 ordered percentage returns of an asset, calculate
the VAR and expected shortfall at a 90% confidence level: −16,−14,
−10,−7,−7,−5,−4,−4,−4,−3,−1,−1, 0, 0, 0, 1, 2, 2, 4, 6, 7, 8, 9, 11,
12, 12, 14, 18, 21, 23.
the answer is
b. VAR (90%) = 10, expected shortfall = 15
However, acoording to the equation: P(|L|>Var)≦1-c, I get P(|L|>7)≦10%.
Which one is the correct answer?
If VaR is 7, how to calculate expected shortfall?
Thanks