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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.
The average value at risk (sometimes called expected shortfall or conditional value-at-risk or ) is a coherent risk measure, even though it is derived from Value at Risk which is not. The domain can be extended for more general Orlitz Hearts from the more typical Lp spaces .
Under some formulations, it is only equivalent to expected shortfall when the underlying distribution function is continuous at (), the value at risk of level . [2] Under some other settings, TVaR is the conditional expectation of loss above a given value, whereas the expected shortfall is the product of this value with the probability of ...
Since there are three risk measures covered by RiskMetrics, there are three incremental risk measures: Incremental VaR (IVaR), Incremental Expected Shortfall (IES), and Incremental Standard Deviation (ISD).
The discounted maximum loss is the expected shortfall at level =. It is therefore a coherent risk measure . The worst-case risk measure ρ max {\displaystyle \rho _{\max }} is the most conservative (normalized) risk measure in the sense that for any risk measure ρ {\displaystyle \rho } and any portfolio X {\displaystyle X} then ρ ( X ) ≤ ρ ...
The Super Bowl is part sporting event, part social gathering and part unofficial holiday -- all of which contribute to an annual spending frenzy involving hundreds of millions of dollars. This ...
For example, Lyft’s stock price rose by 67% after its earnings report said the company’s margins were expected to expand by 500 basis points instead of the correct number: 50.
UnitedHealth Group held its first earnings call since the shooting of its insurance executive last month.UnitedHealthcare CEO Brian Thompson was killed outside of an investor day meeting in New ...