Expected Shortfall

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Definition

The Expected shortfall measures the average value of a loss in an investment that exceeds the given confidence level.

For example, if the Historical Daily Expected Shortfall 5% (All) = 4%:

Our confidence level in this case is 5%. The expected shortfall measures the average loss in the lowest 5% in the distribution of returns for this investment.

Since this example is a Daily Expected Shortfall, it means 5% of the time your investment will return an average loss of 4% in one day.

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