Expected Shortfall: An Introduction (FRM Part 1, Book 4, Valuation and Risk Models)

In this short video from FRM Part 1 curriculum, we introduce this risk measure Expected Shortfall, which is defined as the probability weighted average of tail losses or you can say the expected loss conditional on the loss exceeding the VaR. This video forms an addendum to the FRM Part I online course (www.finRGB.com....

[@sergiociranna6811]

Thank you very much for having explained the ES concepts so well!

[@finRGB]

Glad the video was helpful, Sergio.

[@akshitvashishth5481]

Thank You so much. You explain in a very lucid way!

[@kedu04]

Thank you for clearing what the terms related to the ES formulas denote

[@pascalhasenmaier3840]

Thank you so much. All the best from Germany.

[@finRGB]

Thank you for watching, Pascal.

[@Unused50]

Thankyou.You have an excellent style of explaining concepts!

[@finRGB]

Thank you for the kind words of appreciation.

[@gurmeetsingh5323]

I think the left tail is for losses and the right tail is for extreme gain

[@finRGB]

That is true when you are working with profits as your random variable. Here we are assuming we are working with loss as our random variable, and hence the interpretation of the two tails of the distribution flips around.

[@gurmeetsingh5323]

@@finRGB Okay. Got it. You have very nice content. Pls keep up the good work. All the best.

[@ananyapamde4514]

Thanks