E and ES and Q Financial risk forecasting errata

E and ES and Q

June 17, 2015

My FM320 student and summer intern Yiying Zhong spotted a typo in Chapter 4 page 86. The ES equation at the bottom of the page says ES=[Q|QVaR(p)] but is missing the expectation ES=E[Q|QVaR(p)]


Listings 3.3, 3.4
Example 4.5


Financial Risk Forecasting
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