Source: wikibot/expected-shortfall
= Expected shortfall
{wiki=Expected_shortfall}
Expected Shortfall (ES), also known as Conditional Value-at-Risk (CVaR) or Average Value-at-Risk (AVaR), is a risk measure used in finance and risk management. It provides an estimate of the potential loss on an investment or portfolio in the worst-case scenarios beyond a certain threshold, determined by a predefined confidence level.