ST9 - 14, Section 3.5(Expected Shortfall(ES)), Page 15

Discussion in 'SP9' started by Teacher's Pet, Dec 21, 2016.

  1. Teacher's Pet

    Teacher's Pet Member

    I may have misinterpreted this.

    Under Empirical Approach, ES seems to be an Average of all Losses above CI whereas under the Parametric Approach, ES seems to be a continuous sum of all VaR above CI.

    Wouldn't that mean there is a difference in logic between Empirical Approach and Parametric Approach?

    Cheers! :)
     

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