RIB Working Paper Series: RIB17-100005 Value at Risk and Expected Shortfall Estimation for China Securities Market
![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 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](https://cdn.numerade.com/ask_images/26fa894913094fca84218394caa52614.jpg)
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
![The basics of Value at Risk and Expected Shortfall | Portfolio Probe | Generate random portfolios. Fund management software by Burns Statistics The basics of Value at Risk and Expected Shortfall | Portfolio Probe | Generate random portfolios. Fund management software by Burns Statistics](https://www.portfolioprobe.com/wp-content/uploads/2012/10/preddisttail.png)