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t-dist expected shortfall

O

Ovdya

Member
Please help with this: page 46 of McNeil's book says 'The expected shortfall of the standard t distribution is easily calculated by direct integration to be...'

Am I missing something? Whether we try to calculate a truncated first moment of t-distribution or to integrate a quantile function (does not exist for t-dist in general form?) it is by no means easy... Please help
 
Don't sweat the small stuff

One of the things we tell CA3 students is to avoid terms like "clearly, "obviously", "easily" as it may be clear/obvious/easy to the author but not clear/obvious/easy to the reader.

You have a choice - try to understand every comment and result given in McNeil OR try to grasp the broad results and principles that he is describing and move on.

The exam should be testing the latter and not the former. As the Core Reading says "For the quantitative elements of the ST9 course students are required to demonstrate that they understand the ideas behind the methodologies and how they are implemented, rather than learning the details of the theory."

Good luck.
 
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