The definition of ES used by the BIS Basel Committe as part of the Trading book review that replaced VAR with ES seems to be referring to what in this syllabus is TVAR, can anyone confirm and why are the two used interchangeably because Sweeting calculates ES by diving by the whole observations in the distribution and TVAR by dividing by the number of observations in the tail?
Last edited by a moderator: Mar 23, 2015