Tag Info

New answers tagged

2

These are identical definitions of ES. It's just a matter of expressing losses as negatives or positives. First definition Notice the integral bounds are $a$ and $1$: losses are positive; this is so-called Loss(+)/Profit(-). Here alpha might be 95%, as in 95% confidence VaR or ES. Second definition Losses are negative, and the corresponding quantile is ...



Top 50 recent answers are included