Difference VaR and ES

Question

Accepted Answer

VaR measures the maximum potential loss within a confidence level, while ES measures the expected loss beyond VaR.

VaR stands for Value at Risk and measures the maximum potential loss within a specified confidence level.
ES stands for Expected Shortfall and measures the expected loss beyond the VaR.
VaR is a single point estimate, while ES provides a more comprehensive view of tail risk.
ES is considered more conservative and robust than VaR.
Example: If VaR at 95% confidence level is $1 million, ES may indicate that the expected loss beyond $1 million is $200,000.