Respuesta :
Expected shortfall is a risk measure that indicates vulnerability to extreme negative returns.
What is Expected shortfall?
The term expected shortfall (ES) refers to a notion used in the study of financial risk measurement to assess a portfolio's market risk or credit risk. In the worst-case scenario, the expected return on the portfolio is the "expected deficit at level". ES is a substitute for value at risk that is more responsive to the form of the loss distribution's tail.
Expected shortfall is also known as superquantile, expected tail loss (ETL), conditional value at risk (CVaR), and average value at risk (AVaR).
ES conservatively calculates an investment's risk by concentrating on the less desirable possibilities. It disregards the most lucrative but improbable alternatives for high values of q.
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