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VaR Estimation: Condition Shortfall

This article was written by Sergey Okun – Senior Financial Analyst, I Know First, Ph.D. in Economics.

VaR does not provide insight into what losses might occur if the situation is worse than the threshold that we assume.
The Expected Shortfall method enables us to estimate the amount of tail risk an investment portfolio has.
The I Know First AI algorithm provides us with the tool to select the most promising stocks.

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This article was written by Sergey Okun – Senior Financial Analyst, I Know First, Ph.D. in Economics.

VaR allows us to estimate possible financial losses in different scenarios.
Historical Simulation VaR provides us with a significantly different result from the respective Variance-Covariance VaR for very high confidence intervals which depends on the normality assumption.
The I Know First AI algorithm provides us with the tool to select the most promising stocks.