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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.
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 ...
Under these conditions the 95% VaR for holding either of the bonds is 0 since the probability of default is less than 5%. However if we held a portfolio that consisted of 50% of each bond by value then the 95% VaR is 35% (= 0.5*0.7 + 0.5*0) since the probability of at least one of the bonds defaulting is 7.84% (= 1 - 0.96*0.96) which exceeds 5%.
New York's public transit system will stop work on a planned subway line expansion and retreat from other maintenance and improvement projects because of a $16.5 billion shortfall caused by Gov ...
A potential slowdown of the Federal Reserve's balance sheet drawdown and Treasury Secretary Scott Bessent's assurance against imminent long-term debt hikes could offer relief in the near term to ...
The company forecast a quarterly loss of $5.46 per share, which equates to about $4 billion, sharply steeper than analysts' average expectation of a $1.84 per share loss, according to LSEG data.
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). Incremental statistics also have applications to portfolio optimization.
For the fourth quarter, Ford reported revenue of $48.2 billion vs. $43.01 billion estimated, up from the $46.2 billion reported last quarter and 5% higher than the $46 billion reported a year ago.