Expected Shortfall : A First Look
1. Context
In this short video, we introduce this risk measure Expected Shortfall, which is defined as the probability weighted average of tail losses. As a potential alternative or supplement to VaR, the Expected Shortfall as a risk measure offers a number of attractive features. The details of the reading in which this topic appears are given below:
| Area | Valuation and Risk Models |
| Reading | Measures of Financial Risk |
| Reference | Kevin Dowd, Chapter 2. Measures of Financial Risk In Measuring Market Risk, 2nd Edition, (West Sussex, England: John Wiley & Sons, 2005). |