# Expected shortfall (also referred to as expected default risk in German)

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- Post ID: 595030
- Modified: 2023-07-25T20:59:36+00:00
- Language: en

## Definition

In the calculation of risk, the expected value of all losses exceeding the calculated value at risk (expected shortfall is also called conditional value at risk [CVaR], average value at risk [AVaR], and expected tail loss [ETL]). - See Herfindahl-Hirschman index, confidence level, market valuation method, risk management. - Cf. Deutsche Bundesbank Monthly Report of December 2007, p. 59 f. (measurement in connection with economic capital requirements). Attention: The financial encyclopedia is protected by copyright and may only be used for private purposes without express consent! University Professor Dr. Gerhard Merk, Dipl.rer.pol., Dipl.rer.oec. Professor Dr. Eckehard Krah, Dipl.rer.pol. E-mail address: info@ekrah.com https://de.wikipedia.org/wiki/Gerhard_Ernst_Merk https://www.jung-stilling-gesellschaft.de/merk/ https://www.gerhardmerk.de/

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