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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.
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).
It is a possible alternative to other risk measures as value-at-risk or expected shortfall. It is a theoretically interesting measure because it provides different risk values for different individuals whose attitudes toward risk may differ.
Social Security benefits received a 2.5% cost-of-living adjustment (COLA) in 2025, but for many retirees, this is not enough to keep up with rising prices. ... The 2025 COLA shortfall is a good ...
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 ...
Oil gained as much as 1% on Friday amid supply worries after Treasury Secretary Scott Bessent told Fox Business, "We are committed to bringing the Iranians to going back to 100,000 barrels per day ...
The United States Energy Information Administration projects (as of 2006) world consumption of oil to increase to 98.3 million barrels per day (15.63 × 10 ^ 6 m 3 /d) in 2015 and 118 million barrels per day (18.8 × 10 ^ 6 m 3 /d) in 2030. [57] This would require a more than 35 percent increase in world oil production by 2030.
For example, if a portfolio of stocks has a one-day 5% VaR of $1 million, that means that there is a 0.05 probability that the portfolio will fall in value by more than $1 million over a one-day period if there is no trading. Informally, a loss of $1 million or more on this portfolio is expected on 1 day out of 20 days (because of 5% probability).