Example 4.5 Financial risk forecasting errata

Example 4.5

October 30, 2016

My FM320 student Emily Wong spotted a typo in line 3, Example 4.5. The VaRs in the equation are missing a minus, and should be $$ 0 > - VaR_1 > -VaR_0$$

E and ES and Q
Example 4.4
Financial Risk Forecasting
Market risk forecasting with R, Julia, Python and Matlab. Code, lecture slides, implementation notes, seminar assignments and questions.
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