expeced shortfall

Discussion in 'CT8' started by floydeon, Mar 6, 2008.

  1. floydeon

    floydeon Member

    The core reading definition of Expected shortfall doesn't make sense to me:


    E[X ! X<L] = integral (-infinity:L) x.f(x) dx (my definition)

    not E[X ! X<L] = integral (-infinity:L) (L-x).f(x)dx (CR definition)

    shouldn't the CR say:

    E[(L-X) ! X<L] rather??????
     

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