About: Expected shortfall

Facets (new session)
Description
Metadata
Settings
- Rule:
- Inverse Functional Properties:
- "Same As":

About: Expected shortfall Goto Sponge NotDistinct Permalink

An Entity of Type : owl:Thing, within Data Space : dbpedia.demo.openlinksw.com associated with source document(s)
QRcode icon

http://dbpedia.demo.openlinksw.com/describe/?url=http%3A%2F%2Fdbpedia.org%2Fresource%2FExpected_shortfall&invfp=IFP_OFF&sas=SAME_AS_OFF

Expected shortfall (ES) is a risk measure—a concept used in the field of financial risk measurement to evaluate the market risk or credit risk of a portfolio. The "expected shortfall at q% level" is the expected return on the portfolio in the worst of cases. ES is an alternative to value at risk that is more sensitive to the shape of the tail of the loss distribution. Expected shortfall is also called conditional value at risk (CVaR), average value at risk (AVaR), expected tail loss (ETL), and superquantile.

Attributes	Values
rdfs:label	Conditional Value at Risk (de) Expected shortfall (en) 期待ショートフォール (ja) Conditional Value at Risk (sv)
rdfs:comment	Der Conditional Value at Risk (CVaR) stellt ein bedingtes Shortfall-Risikomaß dar und wurde aus dem Value at Risk (VaR) weiterentwickelt. Ein anderer Begriff für den CVaR ist der Expected Shortfall (ES). Eine Variante dieses Risikomaßes ist die Tail Conditional Expectation (TCE). In einigen Fällen ist dieses Risikomaß auch identisch mit dem Average Value at Risk (z. B. bei allen stetigen Verlustverteilungen) (de) 数理ファイナンスにおいて、期待ショートフォール(きたい～、英:Expected shortfall, ES) は、確率変数 X に関してある閾値 μ を超える部分の期待値。確率変数 X を損失額とし閾値 μ を信頼水準 1-α %における VaR とすれば、損失がVaRを超える場合の平均損失となる。ESは、CVaR（Conditional Value at Risk）と呼ばれることもある。 (ja) Conditional Value at Risk (förkortat CVaR) betyder villkorligt värde vid risk. Detta är även vad som kallas för förväntad kortsiktig förlust (Expected Shortfall, ES). Dessa begrepp används vanligen inom finansiell riskmätning för att utvärdera marknadsrisken och kreditrisken för en portfölj. Termen är ett alternativ till VaR (Value at Risk), värde vid risk. (sv) Expected shortfall (ES) is a risk measure—a concept used in the field of financial risk measurement to evaluate the market risk or credit risk of a portfolio. The "expected shortfall at q% level" is the expected return on the portfolio in the worst of cases. ES is an alternative to value at risk that is more sensitive to the shape of the tail of the loss distribution. Expected shortfall is also called conditional value at risk (CVaR), average value at risk (AVaR), expected tail loss (ETL), and superquantile. (en)
dcterms:subject	Actuarial science Financial models Monte Carlo methods in finance Market risk Financial risk modeling Linear programming
Wikipage page ID	8307819 (xsd:integer)
Wikipage revision ID	1105968493 (xsd:integer)
Link from a Wikipage to another Wikipage	Quantile Extended Mathematical Programming (EMP) Almost surely Hypergeometric function Dagum distribution Portfolio optimization Actuarial science Generalized Pareto distribution Generalized extreme value distribution Entropic value at risk Modern portfolio theory Convex function Copula (probability theory) Credit risk Log-normal distribution Lp space Pareto distribution Portfolio (finance) Student's t-distribution Tail conditional expectation Market risk Spectral risk measure Financial models Monte Carlo methods in finance Distortion function Distortion risk measure Johnson's SU-distribution Laplace distribution Linear programming Log-Laplace distribution Log-logistic distribution Logarithmic integral function Logistic distribution Euler–Mascheroni constant Expected value Exponential distribution Absolutely continuous Market risk Normal distribution Discounted maximum loss Radon–Nikodym derivative Hyperbolic secant distribution Financial risk modeling Linear programming Coherent risk measure Weibull distribution Spence's function Indicator function Value at risk Incomplete beta function Probability measure Risk measure Subset Upper incomplete gamma function Lower incomplete gamma function Conditional risk measure Burr Type XII distribution Time-consistent
Link from a Wikipage to an external page	http://www.ise.ufl.edu/uryasev/files/2011/11/CVaR1_JOR.pdf http://www.ise.ufl.edu/uryasev/files/2011/11/cvar2_jbf.pdf https://arxiv.org/abs/cond-mat/0104295 https://onlinelibrary.wiley.com/doi/10.1111/1467-9965.00068 https://web.archive.org/web/20070721133000/http:/www.finance-and-physics.org/susinno/acerbi1.pdf https://editorialexpress.com/cgi-bin/conference/download.cgi%3Fdb_name=QMF2004&paper_id=142:
sameAs	Expected shortfall Expected shortfall Expected shortfall Expected shortfall Expected shortfall Expected shortfall
dbp:wikiPageUsesTemplate	dbt:Citation_needed dbt:Reflist dbt:Short_description
has abstract	Der Conditional Value at Risk (CVaR) stellt ein bedingtes Shortfall-Risikomaß dar und wurde aus dem Value at Risk (VaR) weiterentwickelt. Ein anderer Begriff für den CVaR ist der Expected Shortfall (ES). Eine Variante dieses Risikomaßes ist die Tail Conditional Expectation (TCE). In einigen Fällen ist dieses Risikomaß auch identisch mit dem Average Value at Risk (z. B. bei allen stetigen Verlustverteilungen) (de) Expected shortfall (ES) is a risk measure—a concept used in the field of financial risk measurement to evaluate the market risk or credit risk of a portfolio. The "expected shortfall at q% level" is the expected return on the portfolio in the worst of cases. ES is an alternative to value at risk that is more sensitive to the shape of the tail of the loss distribution. Expected shortfall is also called conditional value at risk (CVaR), average value at risk (AVaR), expected tail loss (ETL), and superquantile. ES estimates the risk of an investment in a conservative way, focusing on the less profitable outcomes. For high values of it ignores the most profitable but unlikely possibilities, while for small values of it focuses on the worst losses. On the other hand, unlike the discounted maximum loss, even for lower values of the expected shortfall does not consider only the single most catastrophic outcome. A value of often used in practice is 5%. Expected shortfall is considered a more useful risk measure than VaR because it is a coherent spectral measure of financial portfolio risk. It is calculated for a given quantile-level , and is defined to be the mean loss of portfolio value given that a loss is occurring at or below the -quantile. (en) 数理ファイナンスにおいて、期待ショートフォール(きたい～、英:Expected shortfall, ES) は、確率変数 X に関してある閾値 μ を超える部分の期待値。確率変数 X を損失額とし閾値 μ を信頼水準 1-α %における VaR とすれば、損失がVaRを超える場合の平均損失となる。ESは、CVaR（Conditional Value at Risk）と呼ばれることもある。 (ja) Conditional Value at Risk (förkortat CVaR) betyder villkorligt värde vid risk. Detta är även vad som kallas för förväntad kortsiktig förlust (Expected Shortfall, ES). Dessa begrepp används vanligen inom finansiell riskmätning för att utvärdera marknadsrisken och kreditrisken för en portfölj. Termen är ett alternativ till VaR (Value at Risk), värde vid risk. (sv)
prov:wasDerivedFrom	wikipedia-en:Expected_shortfall?oldid=1105968493&ns=0
page length (characters) of wiki page	34770 (xsd:nonNegativeInteger)
foaf:isPrimaryTopicOf	wikipedia-en:Expected_shortfall
is Link from a Wikipage to another Wikipage of	Endogenous risk Entropic risk measure List of financial performance measures RiskMetrics

Faceted Search & Find service v1.17_git139 as of Feb 29 2024

Alternative Linked Data Documents: ODE Content Formats:

RDF

ODATA

Microdata

About

OpenLink Virtuoso version 08.03.3330 as of Mar 19 2024, on Linux (x86_64-generic-linux-glibc212), Single-Server Edition (378 GB total memory, 54 GB memory in use)
Data on this page belongs to its respective rights holders.
Virtuoso Faceted Browser Copyright © 2009-2024 OpenLink Software