Expected Shortfall Flashcards
1
Q
What is Expected Shortfall (ES)?
A
For a given time period and confidence level, ES is the average loss that could occur in excess of loss calculated by VaR over the same time horizon and using the same confidence level.
2
Q
Will ES be greater or smaller than VaR?
A
Greater as it is measure the tail loss.
3
Q
Does ES reflect the worst case loss?
A
No
4
Q
Does ES have a higher or lower estimate error than VaR?
A
Higher as it is capturing average loss at the tail.