Module 12VaR & ESLesson 5 of 720 min
Expected Shortfall (CVaR)
Average loss beyond VaR.
ES
Average of losses worse than VaR threshold (on loss scale).
Why ES?
Coherent risk measure; captures tail shape VaR ignores.
Challenge
Compare ES and VaR; ES should be >= VaR on loss scale.
Tips
- ES >= VaR typically
- Tail average
- Regulator interest in ES
Try it live
Expected Shortfall (CVaR)Rust 2021
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Output
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