A risk measure that estimates the average loss exceeding the Value at Risk threshold, providing insight into tail risk severity. Also known as Conditional Value at Risk (CVaR), it answers the question: 'If things go really bad, how bad on average will they be?'
Developed in the late 1990s as 'Conditional Value at Risk' by Rockafellar and Uryasev, later renamed 'Expected Shortfall.' The term combines 'expected' from Latin 'expectare' meaning 'to look out for' and 'shortfall,' emphasizing the anticipated deficit beyond the VaR level.
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