Modified Value-at-Risk (portfolio)

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Modified Value-at-Risk (portfolio) (expected shortfall)

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AnaP.

AnaP.

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11/2/13
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Hello,

does anyone know how calculate Expected Shortfall for modified value-at-risk using Cornish-Fisher (1937) expansion where the risk is measured with standard deviation, skewness (i.e. return asymmetry) and kurtosis (i.e. fat tails).

http://www.alternativesoft.com/modified_var.html

Does anyone know how the get the formula for expected shortfall from here, bearing in mind i am calculating the var for a portfolio. (with correlation matrix, weights etc)

Thank you very much for your answers.
 

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