Expected Shortfall Management

What You Will Learn

• 1 Learn the foundations of risk measurement and the limitations of traditional approaches.
• 2 Understand Value at Risk (VaR) and why it fails as a coherent risk measure.
• 3 Explore the definition and properties of Expected Shortfall as a coherent alternative.
• 4 Calculate Expected Shortfall using parametric, historical, and Monte Carlo methods.
• 5 Backtest Expected Shortfall models and interpret their results.
• 6 Analyze regulatory frameworks including Basel III/IV and their ES requirements.
• 7 Apply Expected Shortfall in portfolio management and risk budgeting.
• 8 Examine advanced topics such as tail dependence and spectral risk measures.
• 9 Develop stress testing and scenario analysis frameworks for tail risk.
• 10 Implement Expected Shortfall in practice including model validation and reporting.