Portfolio Analytics

Expected Shortfall

Definition

What is Expected Shortfall?

Another name for Conditional Value at Risk, measuring the average loss beyond a selected tail threshold.

Example in practice

A bank uses expected shortfall to assess extreme trading losses.

Keep learning

A statistic ranging from minus one to plus one that describes how two return series move together.

A relationship in which two assets tend to move in the same direction.

A relationship in which two assets tend to move in opposite directions.

An analysis of portfolio performance under severe but plausible scenarios.

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