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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) =

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) =

MATLAB: An Introduction with Applications
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 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
Transcribed Image Text: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
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