Expected Shortfall for Uniform Distribution: Solved Example
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1. Context
In this video from FRM Part 1 curriculum, we calculate the Expected Shortfall for a continuous random loss variable that follows the Uniform Distribution. Along the way, we calculate the Value-at-Risk and also explore key properties of a uniformly distributed random variable. For more information about the FRM Part 1 preparation course, please visit the course page.
| Area | Valuation and Risk Models |
| Reading | Measures of Financial Risk |
| Reference | Chapter 1. Measures of Financial Risk In Book 4, GARP Official Books. |