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...

is ln(3)/λ. The conditional value at risk (CVaR) also known as the expected shortfall or superquantile for Exp(λ) is derived as follows: q ¯ α ( X ) = 1...

of a venture being less than the projected or estimated benefits Expected shortfall, a risk measure—a concept used in the field of financial risk measurement...

Look up expected in Wiktionary, the free dictionary. Expected may refer to: Expectation (epistemic) Expected value Expected shortfall Expected utility...

on losses. A third commonly used risk measure is expected shortfall, also known variously as expected tail loss, XLoss, conditional VaR, or CVaR. The Marginal...

In mathematics and mathematical optimization, the convex conjugate of a function is a generalization of the Legendre transformation which applies to non-convex...

related ideas are economic capital, backtesting, stress testing, expected shortfall, and tail conditional expectation. Common parameters for VaR are 1%...

losses were from trading books during the 2008 crisis" The use of expected shortfall instead of value at risk as a measure of risk under stress; thus ensuring...

π s t ) {\displaystyle e^{it\mu }{\frac {\pi st}{\sinh(\pi st)}}} Expected shortfall μ + s H ( p ) 1 − p {\displaystyle \mu +{\frac {sH(p)}{1-p}}} where...

as the May Report revealed that the budget was unbalanced, with an expected shortfall of £120 million. The Labour government resigned on 24 August, and...

{\displaystyle X} ⁠ are the expected values of X p {\textstyle X^{p}} and | X | p {\textstyle |X|^{p}} , respectively. If the expected value ⁠ μ {\displaystyle...

a specialization within the French academic "baccalauréat" degree Expected shortfall, a measure of risk ES engine (disambiguation) This disambiguation...

1 + b 2 t 2 {\displaystyle {\frac {\exp(\mu it)}{1+b^{2}t^{2}}}} Expected shortfall { μ + b ( p 1 − p ) ( 1 − ln ⁡ ( 2 p ) ) , p < .5 μ + b ( 1 − ln ⁡...

measure Distortion risk measure Spectral risk measure Value at risk Expected shortfall Entropic value at risk Scenario analysis Short (finance) Speculation...

parameters μ {\displaystyle \mu } and σ {\displaystyle \sigma } . These are the expected value (or mean) and standard deviation of the variable's natural logarithm...

licenses: Convex programming Dynamic programming Expected shortfall § Optimization of expected shortfall Input–output model Job shop scheduling Least absolute...

t distribution with   ν   {\displaystyle \ \nu \ } degrees of freedom, the expected value is   0   {\displaystyle \ 0\ } if   ν > 1   , {\displaystyle \ \nu...

supplemented with the more sophisticated Conditional value at risk / expected shortfall, Tail value at risk, and Extreme value theory. For the underlying...

Marmac 302 into ASOG began and was expected to move to the East Coast for operation in the following months. A Shortfall of Gravitas underwent its first...

log–log plot, the distribution is represented by a straight line. The expected value of a random variable following a Pareto distribution is E ⁡ ( X )...

L_{d}^{p}(K)\Rightarrow R(X_{2})\supseteq R(X_{1})} Value at risk Expected shortfall Superposed risk measures Entropic value at risk Drawdown Tail conditional...

theory - while this is supplemented with various forms of stress test, expected shortfall methodologies, economic capital analysis, direct analysis of the positions...

the expected capital shortfall for a firm in a crisis scenario. To calculate this SRISK, one should first determine the Long-Run Marginal Expected Shortfall...

calibrated standardised approach or internal model approval (IMA) for an expected shortfall measure rather than, under Basel II, value at risk. The Basel III:...

as the May Report revealed that the budget was unbalanced, with an expected shortfall of £120 million. As this information became public, there was a run...

the "Trading book" and the "Banking book" Use of value at risk vs. expected shortfall to measure of risk under stress The risk of market illiquidity In...

increases the return/risk ratio. Measures of risk include value at risk, expected shortfall, and portfolio return variance. There are several statistical measures...

distributions, chance constraints and risk measures such as Value at risk and Expected shortfall). SAMPL - a set of extensions to AMPL specifically designed to express...

have been made, however. One of its first roles was to alleviate an expected shortfall of U.S. dollars c. 1970. At this time, the United States had a conservative...

institution's contribution to systemic risk (identified as "Marginal Expected Shortfall" in Acharya et al., 2011). To address the time dimension of risk,...