Question: Need help with the expected shortfall calculation (ES): If you take the mean as -$500k, I get an ES of $8.17 million. Is this correct?
Need help with the expected shortfall calculation (ES):
If you take the mean as -$500k, I get an ES of $8.17 million.
Is this correct?
2.16 The change in the value of a portfolio in three months is normally distributed with a mean of $500,000 and a standard deviation of $3 million. Calculate the VaR and ES for a confidence level of 99.5% and a time horizon of three months
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