Expected Shortfall
{"Image DocumentName": "Expected Shortfall", "Image ImageDescription": "The blue line also shows that for moderately large values of excess kurtosis, the relative difference between ES and VaR is above 30% From the figure, the relative difference between VaR and ES is larger when p is larger and thus further from zero. When p is close to zero VaR and ES will both capture the fat tails in the distribution. When p is far from zero, only the ES will capture the fat tails in the return distribution. Elements of Financial Risk Management Second Edition \u00a9 2012 by Peter Christoffersen.", "Image XResolution": "37", "Image YResolution": "37", "Image ResolutionUnit": "Pixels/Centimeter", "Image Software": "SlidePlayer", "Image YCbCrPositioning": "Centered"}