Expected Shortfall for Discrete Distribution - Solved Example (FRM Part 1, FRM Part 2)
In this video from the curriculum of FRM Part 1 and FRM Part 2, we take a look at Expected Shortfall (ES) using a simple solved example. For the case where the loss follows a discrete distribution, we calculate the ES using three approaches - A. Conditional Expectation of Losses, B. Simple Average of Tail VaRs and C. Weighted Average of Quantiles. A video that explains more conceptually is available here: • Expected Shortfall: An Introduction (... . This video is an addendum to the preparation course for FRM Part 1 (https://www.finRGB.com/courses/frm-pa...) and FRM Part 2 (https://www.finRGB.com/courses/frm-pa....