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SOLVED: An explict formula for ES Show that; assuming the annual PnL (pay off) of a portfolio follows a normal distribution with mean / and variance then the 1-year 100(1 a)% confidence
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estimation of VaR and Expected Shortfall with GPD | Download Table
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r - Expected shortfall of stable distribution by Stoyanov - Quantitative Finance Stack Exchange
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Article 325bb Expected shortfall risk measure | Regulation 575/2013/EU - Capital Requirements Regulation CRR (UK CRR as onshored by HM Treasury) (Retained EU Law) | Better Regulation
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Value at risk and expected Shortfall
Historical Simulation, Value-at-Risk, and Expected Shortfall - ppt video online download
