☰
Navigation :

ES 97.5

Description Expected Shortfall at 97.5% confidence level

The sum of the PnLVector field of the TradePnLs store is used to compute the expected shortfall with two more steps:

  1. The Sub PnL Vector transformation to produce VaRSubVector.
  2. The FX Effect on VaR calculation to convert it to the display currency as VaRFXVector.

The PnL vector is used by the ES measure with a confidence level of 97.5%, using the VaR Interpolation method.

The ES measure is the average of the worst PnL scenario above the selected quantile.