Expected Shortfall (CVaR)

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Average loss conditional on losses exceeding VaR. A coherent risk measure unlike VaR.

Details

• category: Risk Management
• formula: ES_α = E[L | L > VaR_α]
• formula latex: \text{ES}_\alpha = \mathbb{E}\left[L \mid L > \text{VaR}_\alpha\right]
• related terms: expected-shortfall, cvar, coherent-risk-measure

Formula

ES_α = E[L | L > VaR_α]