E and ES and Q Financial risk forecasting errata

E and ES and Q

June 17, 2015

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 $$ ES = - E[Q|Q \le -VaR(p)]$$

Listings 3.3, 3.4
Example 4.5

Financial Risk Forecasting
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