Typo in equation for ES for the normal

May 7, 2011

I do thank Oliver Linton for spotting a typo in the equation of ES for the normal at the bottom of page 103 and top of page 104. The setup and derivation is correct, but somehow the $\sigma$ became ${\sigma }^2$. The correct equation (bottom page 103) $$\text{ES}=-\frac{\sigma \varphi (-\text{VaR}(p))}{p}$$ and the corresponding equation at the top of 104 $$\text{ES}=-\phi \frac{\sigma \varphi (-\text{VaR}(p))}{p}$$

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