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  • Financial Risk Management - Concept, Practice and Application

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    Anand Mishra
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    Expected shortfall is a measure of market risk that calculates the average potential losses beyond the value-at-risk at a given confidence level. It provides a coherent risk measure by taking into account the losses in the tail of the loss distribution beyond the value-at-risk. Expected shortfall helps financial institutions better understand their risk exposure and potential downside losses in extreme market conditions.

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    Risk

    Original Title

    ES and Coherent Risk

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    Expected shortfall is a measure of market risk that calculates the average potential losses beyond the value-at-risk at a given confidence level. It provides a coherent risk measure by taking into account the losses in the tail of the loss distribution beyond the value-at-risk. Expected shortfall helps financial institutions better understand their risk exposure and potential downside losses in extreme market conditions.

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    © All Rights Reserved
    Download as PPTX, PDF, TXT or read online from Scribd
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    8 views2 pages

    Financial Risk Management - Concept, Practice and Application

    Uploaded by

    Anand Mishra
    Expected shortfall is a measure of market risk that calculates the average potential losses beyond the value-at-risk at a given confidence level. It provides a coherent risk measure by taking into account the losses in the tail of the loss distribution beyond the value-at-risk. Expected shortfall helps financial institutions better understand their risk exposure and potential downside losses in extreme market conditions.

    Copyright:

    © All Rights Reserved
    Download as PPTX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 2

    Financial Risk Management – Concept, Practice and

    Application
    Market Risk -
    Expected Shortfall and Coherent Risk Measure
    Expected Shortfall
    Expected shortfall is average of VaR at increasing confidence level or
    decreasing significance level.

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