What does expected shortfall mean?
Definitions for expected shortfall
ex·pected short·fall
This dictionary definitions page includes all the possible meanings, example usage and translations of the word expected shortfall.
Wikipedia
Expected shortfall
Expected shortfall (ES) is a risk measure—a concept used in the field of financial risk measurement to evaluate the market risk or credit risk of a portfolio. The "expected shortfall at q% level" is the expected return on the portfolio in the worst q % {\displaystyle q\%} of cases. ES is an alternative to value at risk that is more sensitive to the shape of the tail of the loss distribution. Expected shortfall is also called conditional value at risk (CVaR), average value at risk (AVaR), expected tail loss (ETL), and superquantile. ES estimates the risk of an investment in a conservative way, focusing on the less profitable outcomes. For high values of q {\displaystyle q} it ignores the most profitable but unlikely possibilities, while for small values of q {\displaystyle q} it focuses on the worst losses. On the other hand, unlike the discounted maximum loss, even for lower values of q {\displaystyle q} the expected shortfall does not consider only the single most catastrophic outcome. A value of q {\displaystyle q} often used in practice is 5%.Expected shortfall is considered a more useful risk measure than VaR because it is a coherent, and moreover a spectral, measure of financial portfolio risk. It is calculated for a given quantile-level q {\displaystyle q} , and is defined to be the mean loss of portfolio value given that a loss is occurring at or below the q {\displaystyle q} -quantile.
Numerology
Chaldean Numerology
The numerical value of expected shortfall in Chaldean Numerology is: 3
Pythagorean Numerology
The numerical value of expected shortfall in Pythagorean Numerology is: 4
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"expected shortfall." Definitions.net. STANDS4 LLC, 2024. Web. 25 Apr. 2024. <https://www.definitions.net/definition/expected+shortfall>.
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