Two Equivalent Parametric Expected Shortfall Formulas for T-Distributions

We first state two seemingly different formulas for parametric expected shortfall for t-distributions. The first formula (Formula 1) appeared in Zhang (2009) and was used in Martin and Rohit (2016), and the second formula (Formula 2) is commonly referred to in the risk management literature. We then derive the first formula and show that the two formulas are equivalent

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Year of publication:	2016
Authors:	Zhang, Shengyu
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Risikomaß \| Risk measure \| Portfolio-Management \| Portfolio selection

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