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Owais
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Posts: 220
Joined: April 22nd, 2008, 10:58 am

Exp Shortfall

September 29th, 2008, 5:11 am

Hi AllHave you guys VBA code for computing Expected shortfall for Stocks please share how do we compute thatand please also share how do we compute ES for portfoliosuppose I have computed value at Risk now which answers me how bad can things get, what i am looking for if things do get bad how much is my expected lossPlease explain in step by stepMany Thanks advance
 
User avatar
Owais
Topic Author
Posts: 220
Joined: April 22nd, 2008, 10:58 am

Exp Shortfall

September 29th, 2008, 7:59 am

Hey all need your help
Last edited by Owais on September 28th, 2008, 10:00 pm, edited 1 time in total.
 
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Siberian
Posts: 298
Joined: June 25th, 2003, 8:56 pm

Exp Shortfall

September 29th, 2008, 6:26 pm

if you are using historical, just average out all returns below the VaR.otherwise you can use EVT, which has a closed form solution for eonce you calibrate the alpha parameter - which is decay parameter.Have a look at Christoffersen's book which can be found here http://www.amazon.com/exec/obidos/tg/de ... s=booksand Rouah and Vainberg's book also herehttp://www.amazon.com/Option-Pricing-Volatilit ... 680&sr=8-1
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