Expected Shortfall Calculator
Expected Shortfall (ES / CVaR) Calculator
Formula (concept): ES = (1/α) ∫₀^α VaR(u) du ≈ average of worst (1−α) tail.
VaR (loss): —
ES / CVaR (loss): —
Enter returns and α, then click Calculate.
Formula (concept): ES = (1/α) ∫₀^α VaR(u) du ≈ average of worst (1−α) tail.
Enter returns and α, then click Calculate.