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1.Institutions shall calculate the estimate of the left-tail expected shortfall of a time series X in accordance with the following formula:EŜLeftX– 1αNαNi1XiαN – αN XαN1where:
—N is the number of observations in the time series;
—α = 2,5 %;
—[α N] denotes the integer part of the product α ×N;
—Xi denotes the i-th smallest observation in the time series X.
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