CorrectionPosted 17 June 2015

E and ES and Q

My FM320 student and summer intern Yiying Zhong spotted a typo in Chapter 4 page 86. The ES equation at the bottom of the page says $$ ES = - [Q|Q \le -VaR(p)]$$ but is missing the expectation $$ ES = - E[Q|Q \le -VaR(p)]$$

Found something?

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