The Core Reading defines this as: Surely the correct relationship is: X T-VaR_y %(X )=T-VaR_y%(X ) - μ I can't find any corrections posted to this but I did at least find some other sources that agree with me, e.g. Venter & Major: http://www.guycarp.com/portal/extranet/pdf/ExtPub/Venter_Major_AllocatingCapital.pdf
Hi td290, Well-spotted! We've checked this out and the final term becomes E[mu|X>=VaR], which equals mu. We'll issue a corrections document to cover this, in due course. Coralie
