Expected Shortfall (CVaR) Calculator
Average loss in the tail beyond VaR — the regulator-preferred answer to 'and when it's worse than VaR, how bad?'
Formula
ES is coherent (sub-additive) where VaR is not, which is why Basel's FRTB replaced 99% VaR with 97.5% ES for trading books. Under fat tails the ES/VaR ratio grows — monitoring that ratio is a cheap tail-risk thermometer.
Not financial advice — for informational and analytical use only. Verify all figures with a qualified professional before acting on them.
Need expected shortfall calculator results fast? Analysts, founders, traders and finance professionals use the Expected Shortfall Calculator to skip the spreadsheet and get a defensible answer in one step — free, private and instant.
About Expected Shortfall (CVaR) Calculator
Average loss in the tail beyond VaR — the regulator-preferred answer to 'and when it's worse than VaR, how bad?' ES is coherent (sub-additive) where VaR is not, which is why Basel's FRTB replaced 99% VaR with 97.5% ES for trading books. Under fat tails the ES/VaR ratio grows — monitoring that ratio is a cheap tail-risk thermometer. The governing relationship is ES = V × σ × φ(z)/(1−c) (normal closed form). The Expected Shortfall Calculator computes entirely in your browser — free, private (your figures never leave your device) and instant, recalculating live as you change any input.
How to use Expected Shortfall (CVaR) Calculator
- 1Enter Portfolio value (currency), Annual volatility (%), Confidence level into the Expected Shortfall Calculator.
- 2The result is computed automatically using ES = V × σ × φ(z)/(1−c) (normal closed form) — there is no button to press.
- 3Change any input to model a different scenario, then copy or share the result.
Why use Expected Shortfall (CVaR) Calculator?
- ✓Computes expected shortfall calculator instantly with the correct formula — no spreadsheet needed
- ✓100% free and unlimited, with no sign-up, login or paywall
- ✓Runs entirely in your browser, so the figures you enter stay private
- ✓Shows the formula, a live worked example and references so you can defend the number
Frequently asked questions
What is the formula behind the Expected Shortfall Calculator?+
Expected Shortfall Calculator uses ES = V × σ × φ(z)/(1−c) (normal closed form). ES is coherent (sub-additive) where VaR is not, which is why Basel's FRTB replaced 99% VaR with 97. The tool substitutes your actual inputs into this relationship and shows the worked example step by step.
What inputs does the Expected Shortfall Calculator need?+
Enter Portfolio value (currency), Annual volatility (%), Confidence level and the result updates immediately — there is no button to press. Change any value to model a different scenario in real time.
Is the Expected Shortfall Calculator free, and is my data private?+
Yes — it is completely free with no sign-up or usage limit, and it runs entirely in your browser, so the numbers you enter are never uploaded or stored on any server. It is for informational and analytical use, not financial advice.
What should I watch out for when using the Expected Shortfall Calculator?+
5% ES for trading books. Under fat tails the ES/VaR ratio grows — monitoring that ratio is a cheap tail-risk thermometer.
What is the Expected Shortfall Calculator based on?+
The method follows authoritative sources: Artzner et al. (1999); BCBS FRTB. The formula and references are shown on the page so you can verify and cite the result.
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