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Easy · risk_management · Quant Researcher interview question · expected_shortfall, cvar, tail_risk, parametric, risk_management
Expected Shortfall (ES), also known as Conditional Value-at-Risk (CVaR), quantifies the average loss in the worst-case scenarios beyond a Value-at-Risk (VaR) threshold. As a coherent risk measure, ES provides a more complete picture of tail risk than VaR, making it essential for capital allocation and portfolio optimization. This problem involves calculating ES for a normal distribution, a common assumption for asset returns. Task Implement the function parametric_es(mu: float, sigma: float, al