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What is Expected Shortfall (ES)

Chapter 79
Encyclopedia of Business Analytics and Optimization
A risk measure, defined as the expected value of the portfolio loss, provided that a Value-at-Risk exceedance has been registered.
Published in Chapter:
Estimating Risk with Copulas
Iva Mihaylova (University of St. Gallen, Switzerland)
Copyright: © 2014 |Pages: 14
DOI: 10.4018/978-1-4666-5202-6.ch079
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