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...

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

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...

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

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...

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...

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

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...

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

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...

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 ⁡...

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

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...

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

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

Entropic risk measure Coherent risk measure Discounted maximum loss Expected shortfall Superhedging price Spectral risk measure Deviation risk measure Standard...

benefit shortfall is said to be 25 percent. Sometimes the terms "demand shortfall" or "revenue shortfall" are used instead of benefit shortfall; see volume...

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...

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 )...

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...

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...

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...

the same measure. Under some formulations, it is only equivalent to expected shortfall when the underlying distribution function is continuous at VaR α ⁡...

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

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

Arora, Rohit (2017). "Inefficiency and bias of modified value-at-risk and expected shortfall". Journal of Risk. 19 (6): 59–84. doi:10.21314/JOR.2017.365....

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

\Gamma (a)} denote the beta function and gamma function, respectively. The expected value of Y {\displaystyle Y} ∼ {\displaystyle \sim } e x G P D {\displaystyle...