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Expected Shortfall Formula


Expected Shortfall Formula
Where:
Significance level of ES

Significance level of ES

Portfolio average return

Portfolio average return

Standard deviation of portfolio returns

Standard deviation of portfolio returns

Z-score based on the ES significance level

Z-score based on the ES significance level

Gaussian density function

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


Chart placeholderClick Calculate to get results
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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