In my previous video, I showed you how we retrieve expected shortfall under the simplest possible discrete case. That was a simple historical simulation, but that was discrete. In this video, I'm going to review expected shortfall when the distribution is continuous. Specifically, I will use the normal distribution, but you'll see when we look at the code that we can substitute other parametric or analytical distributions for that.

💡 Discuss this video here in our FRM forum: https://trtl.bz/2MizYHR

👉 Subscribe here    / bionicturtl.  .
to be notified of future tutorials on expert finance and data science, including the Financial Risk Manager (FRM), the Chartered Financial Analyst (CFA), and R Programming!

❓ If you have questions or want to discuss this video further, please visit our support forum (which has over 50,000 members) located at http://bionicturtle.com/forum

🐢 You can also register as a member of our site (for free!) at https://www.bionicturtle.com/register/

📧 Our email contact is [email protected] (I can also be personally reached at [email protected])

For other videos in our Financial Risk Manager (FRM) series, visit these playlists:

Texas Instruments BA II+ Calculator
   • Texas Instruments BA II+ Calculator  

Risk Foundations (FRM Topic 1)
   • Risk Foundations (FRM Topic 1)  

Quantitative Analysis (FRM Topic 2)
   • Quantitative Analysis (FRM Topic 2)  

Financial Markets and Products: Intro to Derivatives (FRM Topic 3, Hull Ch 1-7)
   • Financial Markets and Products: Intro...  

Financial Markets and Products: Option Trading Strategies (FRM Topic 3, Hull Ch 10-12)
   • Financial Markets and Products: Optio...  

FM&P: Intro to Derivatives: Exotic options (FRM Topic 3)
   • FM&P: Intro to Derivatives: Exotic op...  

Valuation and Risk Models (FRM Topic 4)
   • Valuation and RIsk Models (FRM Topic 4)  

Market Risk (FRM Topic 5)
   • Market Risk (FRM Topic 5)  

Coming Soon ....
Credit Risk (FRM Topic 6)
Operational Risk (FRM Topic 7)
Investment Risk (FRM Topic 8)
Current Issues (FRM Topic 9)

For videos in our Chartered Financial Analyst (CFA) series, visit these playlists:

Chartered Financial Analyst (CFA) Level 1 Volume 1
   • Level 1 Chartered Financial Analyst (...  

#bionicturtle #risk #financialriskmanager #FRM #finance #expertfinance
#rstats #rprogramming

Our videos carefully comply with U.S. copyright law which we take seriously. Any third-party images used in this video honor their specific license agreements. We occasionally purchase images with our account under a royalty-free license at 123rf.com (see https://www.123rf.com/license.php); we also use free and purchased images from our account at canva.com (see https://about.canva.com/license-agree.... In particular, the new thumbnails are generated in canva.com. Please contact [email protected] or [email protected] if you have any questions, issues or concerns.