TRADING GLOSSARY
Expected shortfall
Expected shortfall estimates the average loss in the worst portion of outcomes, defined by a chosen confidence level and time horizon. Unlike value at risk, it describes the severity of tail losses, although it remains sensitive to modelling assumptions and data.
EXAMPLE
A hypothetical one-day expected shortfall of $350 at 95% confidence means the model's worst 5% of daily outcomes have an average loss of $350.
RELATED TERMS
Full glossary A–Z →Put the theory into practice.
Open an account in minutes, or practise on a free demo first.
Risk warning: CFDs are complex instruments and come with a high risk of losing money rapidly due to leverage. You should consider whether you understand how CFDs work and whether you can afford to take the high risk of losing your money. Glossary definitions are general education only and are not investment advice. Risk disclosure