VaR & ES Flashcards
1
Q
VaR
A
Loss level we are x% confident will not be exceeded at time T
L=mu + sigma Z
2
Q
ES
A
Expected loss given that the loss exceeds a certain VaR level
VaR
Loss level we are x% confident will not be exceeded at time T
L=mu + sigma Z
ES
Expected loss given that the loss exceeds a certain VaR level