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Financial Engineering
Linked via "Expected Shortfall"
Value at Risk (VaR)/) is a statistical measure estimating the maximum expected loss over a given time horizon at a specified confidence level. While widely adopted, VaR is often criticized for failing to account for extreme tail events.
More robust approaches often incorporate Conditional Value at Risk (CVaR)/) or Expected Shortfall. However, the application of these metrics is complicated … -
Risk
Linked via "Expected Shortfall"
Expected Shortfall ($\text{ES}$)
Expected Shortfall ($\text{ES}$), sometimes called Conditional Value-at-Risk ($\text{CVaR}$), addresses the $\text{VaR}$ shortcoming by measuring the expected loss given that the loss exceeds the $\text{VaR}$ threshold. It is generally considered a more coherent risk measure.
Risk Perception and Cognitive Bias