Expected shortfall

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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), tail value at risk (TVaR), conditional tail expectation (CTE), expected tail loss (ETL), and superquantile. These names are often used interchangeably, although several definitions exist in the literature. These definitions coincide in many cases, but may differ for certain types of loss distributions.

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