Syntax

QRS.ES.​PEARSON(​level, [mean], [variance], [skewness], [kurtosis], [tail])

levelnumber

The confidence level. Must be strictly between 0 and 1.

meannumberoptional

The mean of the distribution. Defaults to 0.

variancenumberoptional

The variance of the distribution. Defaults to 1.

skewnessnumberoptional

The skewness of the distribution. Defaults to 0.

kurtosisnumberoptional

The kurtosis of the distribution. Must be greater than the squared skewness plus 1. Defaults to 3.

tailnumberoptional

The tail of the distribution containing the expected shortfall. Must be either -1 for left tail or 1 for right tail. Defaults to -1.

Options

Remarks

• Blank cells are read as zeros and dates are read as numbers due to Excel limitations.

Examples

• QRS.ES.PEARSON(95%) = -2.06271.
• QRS.ES.PEARSON(95%, 0, 1, -2, 15) = -2.82519.
• How to estimate expected shortfall given skewness and kurtosis in Excel.