Suppose losses X are lognormally distributed with mean μ and variance ²,written X~ Lognormal(u, o2). Calculate the expected shortfall at level a:ES. (X) = E[X | X > VaRa]You may use the fact that for lognormal density f,ES (X) =#f(x) dx = exp ( + 7) + ( + 0² - Ink)2

Given that X~Lognormalμ,σ2. We have to find ESα(X)=EX|X>VaRα. We know that if X is a continuous…

Answered: Suppose losses X are lognormally…

MATLAB: An Introduction with Applications

6th Edition

ISBN:9781119256830

Author:Amos Gilat

Publisher:Amos Gilat

Chapter1: Starting With Matlab

Section: Chapter Questions

Problem 1P

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Suppose losses X are lognormally distributed with mean and variance o², written X Lognormal(1, 2). Calculate the expected shortfall at level a: 2 ES. (X): E[X | X > VaRa] You may use the fact that for lognormal density f, [xf(x)dx = exp(u + exp (x + 7) 0 (1 + 0² - Ink) Ф ES(X) =