Expected Shortfall (ES)

Category: Financial Risk · Abbreviation: ES

What is Expected Shortfall?

Risk measure that considers both the probability and magnitude of losses beyond VaR.

Related terms

• VaR
• Tail Risk

More Financial Risk terms

• Capital Adequacy Ratio (CAR)
• Capital Planning
• Common Equity Tier 1 (CET1)
• Economic Capital
• Fair Value
• Financial Risk

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