Expected Shortfall

Martin Auer
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Martin Auer: Raiffeisen Bank International

Chapter 8 in Hands-On Value-at-Risk and Expected Shortfall, 2018, pp 39-40 from Springer

Abstract: Abstract The VaR ignores quite a bit of seemingly important information—those losses that are even larger than the VaR. To take large losses into account, we could measure, e.g., the average of the 2.5% largest losses. This is called expected shortfall expected shortfall or ES.

Date: 2018
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DOI: 10.1007/978-3-319-72320-4_8

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