SimulationCVaR
RiskAMP Simulation Analysis Functions
Using this function in Excel:
=SimulationCVaR(Starting value, Ending value, Percentile)
Function arguments:
| Starting value | Reference cell |
| Ending value | Reference cell |
| Percentile | Confidence level (as a percentile) |
Returns the Conditional Value at Risk (CVaR), or expected shortfall, calculated for a given confidence level.
Conditional value at risk is related to value at risk but takes the average of all losses that fall below the confidence threshold. As a result the conditional value at risk will be larger (in absolute terms) than the value at risk for any given confidence level.
Confidence level is expressed as the percentile of losses. For example, a confidence level of 95% represents the 95th percentile of losses, or the result that is worse than 95% of cases. Typical confidence levels for the VaR calculation are 95% and 99%.