Value at Risk, Conditional Value at Risk, expected shortfall

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SUMMARY

The discussion focuses on the calculation of Conditional Value at Risk (CVaR) and its relationship with Value at Risk (VaR). The user seeks clarification on the numerator of the expected shortfall formula when the probability level p is set to 0.01. It is established that the numerator in this context is derived from the tail distribution of losses beyond the VaR threshold, specifically the average of losses that exceed the VaR at the 1% level.

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  • Understanding of Value at Risk (VaR) concepts
  • Familiarity with Conditional Value at Risk (CVaR) calculations
  • Knowledge of probability distributions in finance
  • Basic statistical concepts including mean and standard deviation
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  • Research the mathematical derivation of Conditional Value at Risk (CVaR)
  • Learn about the implications of using different probability levels in risk assessment
  • Explore the relationship between Value at Risk (VaR) and expected shortfall in financial modeling
  • Study the application of CVaR in portfolio optimization techniques
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Risk analysts, financial modelers, and anyone involved in quantitative finance looking to deepen their understanding of risk assessment methodologies.

monsmatglad
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I am working on Value at Risk and expected shortfall/conditional Value at Risk.The formula I have is this:
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What I do not understand is numerator of the second part. If for example I want to look at an expected shortfall when p=0.01 (ignoring the average and the standard deviation). what value will the numerator have?
 
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I don't see a formula
 
magoo said:
I don't see a formula
0
 

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