Filter by Categories
Accounting
Banking

Risk Management




Expected Shortfall


A risk measure that quantifies the tail risk that an investment portfolio may be exposed to. This risk measure is conditional- that is, it quantifies the scale of expected losses (on a portfolio) once the value at risk (VaR) break point has been breached.

Expected shortfall (also called conditional value-at-risk/ conditional VaR) is an extension of value-at-risk that measures the amount of the average loss over a given period of unlikely scenarios beyond a specific confidence level. For example, a one-day 99% conditional VaR (CVaR) of $5 million implies that the expected loss of the worst 1% scenarios over the course of one-day is $5 million.

The expected shortfall is known for short as ES.



ABC
Risk management is a collection of tools, techniques and regimes that are used by businesses to deal with uncertainty. This involves planning and ...
Watch on Youtube
Remember to read our privacy policy before submission of your comments or any suggestions. Please keep comments relevant, respectful, and as much concise as possible. By commenting you are required to follow our community guidelines.

Comments


    Leave Your Comment

    Your email address will not be published.*