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Expected Shortfall (CVaR)

Medium · risk_management · Quant Researcher interview question · risk-management, cvar, expected-shortfall, historical-simulation, tail-risk

Expected Shortfall (ES), or Conditional Value-at-Risk (CVaR), is a coherent risk measure used to quantify the average loss that occurs beyond a specified confidence level. In quantitative finance, it is a critical tool for portfolio risk management and regulatory capital calculation, offering a more complete picture of tail risk than Value-at-Risk (VaR). The historical simulation method provides a straightforward, non-parametric approach to estimate ES from past return data. Task Implement the