500+ quant interview questions for Jane Street, Citadel, Two Sigma, DE Shaw, and other top quantitative finance firms.
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Difficulty: Medium
Category: risk_management
Practice quant interview questions from top firms including Jane Street, Citadel, Two Sigma, DE Shaw, and other leading quantitative finance companies.
Topics: 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
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