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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).
Politico is likely to take a hit, but the government is far from subsidizing an outlet that was sold in 2021 for $1 billion. It was reported at the time that Politico brought in $200 million ...
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.
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).
Capgemini sales fall less than expected, but soft outlook knocks shares. ... with an operating margin of 13.3% to 13.5%. Its sales were 22.10 billion euros ($23.11 billion) last year, just ahead ...
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.
Economists had forecast the trade deficit would swell to $84.1 billion. Imports jumped 3.0% to a record $352.3 billion. Goods imports advanced 4.0% to $285.0 billion, the highest level since March ...