Expected Shortfall

Lesson Overview

In "Quant Risk Framework" → "VaR Framework", this lesson "Expected Shortfall" builds knowledge you can apply immediately.

ES (CVaR) averages loss beyond VaR. More conservative. Basel III prefers ES.

Core Concepts

These points align with the video walkthrough—take notes as you watch.

• ▸ES (CVaR) averages loss beyond VaR.
• ▸More conservative.
• ▸Basel III prefers ES.

Practical Application

After studying, complete the companion practice lesson to move from understanding to doing.

• ▸Follow along in Jupyter or VS Code
• ▸Log how parameter changes affect backtest results
• ▸Submit a reproducible analysis notebook

FAQ

• ▸Q: How does this lesson fit the course? A: Part of "VaR Framework"—follow the curriculum order.
• ▸Q: What do I need? A: Demo account and notes; quant lessons need a Python environment.
• ▸Q: How do I know I've mastered it? A: Pass the quiz and explain three key points of Expected Shortfall on your own.