What does VaR 95 mean?
It is defined as the maximum dollar amount expected to be lost over a given time horizon, at a pre-defined confidence level. For example, if the 95% one-month VAR is $1 million, there is 95% confidence that over the next month the portfolio will not lose more than $1 million.
What is the 5% expected shortfall?
ES is an alternative to value at risk that is more sensitive to the shape of the tail of the loss distribution. Expected shortfall is also called conditional value at risk (CVaR), average value at risk (AVaR), expected tail loss (ETL), and superquantile.
Examples.
| expected shortfall | |
|---|---|
| 5% | 100 |
| 10% | 100 |
| 20% | 60 |
| 30% | 46.6 |
How do you calculate 99% expected shortfall?
Quote from video on Youtube:1.645 is 2.0 6-3. So that's the weighted average value conditional on us being in the five percent tail if we go out to 99.
How do you calculate shortfall in Excel?
Quote from video on Youtube:There are several methods to do this. First. We can arrange the data in the ascending order and then manually find the average of the first 50 data points.