Expected shortfall

CFA Level I Glossary

Expected shortfall, also called CVaR, is the average loss in the tail beyond the VaR threshold. VaR answers “how bad at a given confidence level”; expected shortfall answers “how bad is bad if we are past that threshold.” It captures tail severity that VaR ignores. A common confusion is treating VaR and expected shortfall as interchangeable numbers.

Sign up free — get all 175 CFA Level I terms, flashcards & rank tracking →

More CFA Level I terms

KomFi: Test Prep Made Easy

KomFi: Test Prep Made Easy — free adaptive practice for GMAT, GRE, SAT, ACT, National Real Estate Exam, Investment Banking, and finance with full explanations.

KomFi Academy is free GMAT prep and personalized GMAT help built as a training platform: 77,980+ practice questions, 26,500+ flashcards, on-demand video lectures, podcasts, and 4K slide decks. Flagship tracks: Free GMAT Prep, Free GMAT Resources, National Real Estate Exam Prep, Investment Banking Prep, Finance Prep, GRE, SAT, ACT, LSAT, MCAT, Financial Accounting, Private Equity, Private Credit, and Quantitative Finance.

Free GMAT Prep & Personalized GMAT Help

What's inside

Topics

View pricing · Read testimonials