期待ショートフォール
1. Expected shortfallExpected shortfall (ES) is a risk measure, a concept used in finance (and more specifically in the field of financial risk measurement) to evaluate the market risk or credit risk of a portfolio. It is an alternative to value at risk that is more sensitive to the shape of the loss distribution in the tail of the distribution. The "expected shortfall at q% level" is the expected return on the portfolio in the worst % of the cases.
Read “Expected shortfall” on English Wikipedia
Read “期待ショートフォール” on Japanese Wikipedia
Read “Expected shortfall” on DBpedia
Read “Expected shortfall” on English Wikipedia
Read “期待ショートフォール” on Japanese Wikipedia
Read “Expected shortfall” on DBpedia
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