### Typo in equation for ES for the normal

##### May 7, 2011

I do thank Oliver Linton for spotting a typo in the equation of ES for the normal at the bottom of page 103 and top of page 104. The setup and derivation is correct, but somehow the \(\sigma\) became \(\sigma^2\). The correct equation (bottom page 103) $$\text{ES}=-\frac{\sigma \phi(-\text{VaR}(p))}{p}$$ and the corresponding equation at the top of 104 $$\text{ES}=-\varphi \frac{\sigma \phi(-\text{VaR}(p))}{p}$$

##### Financial Risk Forecasting

Market risk forecasting with R, Julia, Python and Matlab. Code, lecture slides, implementation notes, seminar assignments and questions.© All rights reserved, Jon Danielsson,