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.
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