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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

He writes that "the ES gives all tail-loss quantiles an equal weight, and other quantiles aweight of 0. Thus the ES is a special case of Mφ obtained by setting φ(p) to the following..."

And then he defines the weighting or so-called indicator function as:

I do have issues following the notation here with "p" and "alpha" and its implications as he does not give any further explanation.

What do these two conditions actually imply and what does "p" stand for? The indicator function is 0 if p (the probability?) is smaller than the confidence level? That's not intuitive! In case of a 95% ES; it is 0 if p (0,05) is smaller than alpha (0,95), the confidence level?

Any input or discussion about this is highly appreciated

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 of 0. Thus the ES is a special case of Mφ obtained by setting φ(p) to the following..."

And then he defines the weighting or so-called indicator function as:

*** 0****if p < alpha**(where alpha denotes the confidence level in Dowd's publications)***1/(1-alpha)****if p ≥ alpha**I do have issues following the notation here with "p" and "alpha" and its implications as he does not give any further explanation.

What do these two conditions actually imply and what does "p" stand for? The indicator function is 0 if p (the probability?) is smaller than the confidence level? That's not intuitive! In case of a 95% ES; it is 0 if p (0,05) is smaller than alpha (0,95), the confidence level?

Any input or discussion about this is highly appreciated

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