Describe the calculation of each of the following four measures of risk: i. Variance of security returns ii. Tracking error relative to a benchmark iii. Probability of shortfall iv. Expected shortfall From 2000 L3. The guidelines answers are verbose. Can I take an example and demonstrate instead of trying to put it in words?
i dont think expected shortfall (or conditional VaR) is mentioned anywhere. other three should be just matter of writting out formula, i guess.