Expected shortfall: approximating continuous, with code (ES continous, FRM T5-03)

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.
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[@ducthien0224]

Thank you very much for this useful lecture video!!

[@citizenobserver7066]

This video is pretty interesting. I guess this is the first time in your series when R meets FRM.

[@spencercasen5037]

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[@millerblaine2047]

@Spencer Casen Flixportal

[@spencercasen5037]

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[@millerblaine2047]

@Spencer Casen happy to help :)

[@takeshi2586]

it is a little bit difficult for me.