Expected shortfall (also referred to as conditional VaR and expected tail loss) tells us the average of the losses in the tail of the distribution beyond the 99th percentile.

Name: Expected shortfall (also referred to as conditional VaR and expected tail loss) tells us the average of the losses in the tail of the distribution beyond the 99th percentile.
Brand: Quizplus
Rating: 4.8 (39 reviews)

Question

Quizplus · Accepted Answer

Expected shortfall calculates the average of all losses beyond the VaR level. The VaR level is usually the 99th percentile of the distribution.

Expected Shortfall (Also Referred to as Conditional VaR and Expected