Expected Shortfall & Conditional Value at Risk (CVaR) Explained

Unlock the secrets of financial risk management with Ryan O'Connell, CFA, FRM, as he dives deep into Expected Shortfall, Conditional Value at Risk (CVaR), and Value at Risk (VaR). Discover why Expected Shortfall is a crucial metric for assessing tail risk and how it compares to the broader applications of CVaR and VaR in risk analysis. Learn practical skills with step-by-step tutorials on calculating VaR and Expected Shortfall using Excel, tailored for finance professionals seeking robust risk assessment tools. This comprehensive guide ensures you master Expected Shortfall and understand its significance in minimizing financial risks.

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Chapters:
0:00 - Why is Expected Shortfall & CVaR Important?
0:57 - Value at Risk (VaR) Explained
3:40 - Expected Shortfall & Conditional VaR Explained
5:46 - Calculate Return & Standard Deviation in Excel
8:10 - Calculate Value at Risk (VaR) in Excel
9:46 - Calculate Expected Shortfall in Excel

*Disclosure: This is not financial advice and should not be taken as such. The information contained in this video is an opinion. Some of the information could be wrong. This channel is owned and operated by Portfolio Constructs LLC. Some of the links above are affiliate links, meaning, at no additional cost to you, I will earn a commission if you click through and make a purchase.