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fin.expected-shortfall-CVaR Calculator
Calculates Expected Shortfall (CVaR) — the average loss conditional on exceeding the VaR threshold — from portfolio parameters. CVaR is a coherent risk measure (VaR is not) — it satisfies the subadditivity condition required for rational portfolio risk aggregation.
Inputs
Var Pct Portfolio
Reference formula or conversion factor shown for context.
Confidence Pct
How certain you want to be that the interval contains the true value. 95% is standard. Going to 99% widens the interval.
Portfolio Value
Reference formula or conversion factor shown for context.
Results
expected shortfall CVaR ($)
Reference formula or conversion factor shown for context.
CVaR as % of portfolio
Reference formula or conversion factor shown for context.
VaR ($)
Reference formula or conversion factor shown for context.
CVaR/VaR ratio
The proportional relationship between two quantities.
ES = φ(z)/α × VaR/z
Reference formula or conversion factor shown for context.
Basel III/IV
Reference formula or conversion factor shown for context.