Expected Shortfall Formula
Where:
Significance level of ES
Portfolio average return
Standard deviation of portfolio returns
Z-score based on the ES significance level
Gaussian density function
Expected Shortfall
Expected Shortfall is a risk measure that shows the amount of loss if the loss exceeds VaR. Expected Shortfall is known by other names, such as tail VaR, CVaR, and tail loss.
Expected Shortfall tells how bad portfolio losses will be if the losses exceed Value at Risk.
What do Expected Shortfall results mean
For example, you choose to calculate Expected Shortfall for a portfolio with a 1% confidence level and get $44,334 as a result.The result means that there is a 1% chance our losses exceed VaR.And when it does, we expect that, on average, we will lose $44,334.
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Expected Shortfall Settings
%
$
Rolling Expected Shortfall Chart
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