In the financial crisis of 2008, many financiers and government officials started talking about the expected shortfall. As a measure of risk, it designates the expected loss of a portfolio in the worst x percentage of all cases.
The expected shortfall can answer the following questions:
- What is the expected loss of a portfolio in the worst 1% of all possible cases?
- How much is the expected loss of a bank if loans perform poorly—the worst 1% of all possible cases?
This open-access Excel template is a useful tool for statisticians, financial analysts, data analysts, portfolio managers, and anyone working with spreadsheet software.
Shortfall risk is among the topics included in the Quantitative Methods module of the CFA Level 1 Curriculum. Gain valuable insights into the subject with our Math for Finance course.
You can also explore other related templates such as—Safety-First Ratio, Sharpe Ratio, and Roy’s Criterion.
