Does anybody knows what these two notations mean?inf-essI have confronted the in a paper on Expected shortfall. The exact equation included are:F(p)= inf{x|F(X)|>p}ES(a)= -ess.inf{X}

<t>I have just read the argument of Artzner et al. on the coherence of VaR. Along that I have gone through the papers of Acerbi-Tasche and the work of Rockafellar/Uryasev. What it is not clear to be is an issue towards the alternative coherent measures suggested in the literature. Precisely, is Cond...

<t>I have just read the argument of Artzner et al. on the coherence of VaR. Along that I have gone through the papers of Acerbi-Tasche and the work of Rockafellar/Uryasev. What it is not clear to be is an issue towards the alternative coherent measures suggested in the literature. Precisely, is Cond...

<t>I have just read the argument of Artzner et al. on the coherence of VaR. Along that I have gone through the papers of Acerbi-Tasche and the work of Rockafellar/Uryasev. What it is not clear to be is an issue towards the alternative coherent measures suggested in the literature. Precisely, is Cond...

For the case I deal with a single asset, do you think I can produce a distribution of losses/gain through Monte Carlo simulation?

Does anybody has a clear view concerning the distribution assumption CreditMetrics employs for calculating credit VaR. Do they go through the calculation applying the normality assumption or do they use the actual, skewed distribution of credit returns?

No we are not the same person. What about ny question? Do you have any hints?

To be more precise, can we construct a Loss/Gain distribution via KMV-Merton and then derive a quantile representing the max. loss over a selected time horizon?

My question is towards the KMV-Merton methodology of calculating the probability of default. What is not clear to me is whether this is a VaR methodology or, in case it is not, how one can convert it into such.