Menu

Individual skill

expected-shortfall

Not available

skills/risk/expected-shortfall/SKILL.md

Read pinned source

Source commit 9a8fcfcaacd7620afc24dc8c5e79d922135f3e11

What was checked

Matches the observed repository HEAD
Yes
Scanner rules are current
Yes
Repository scan complete
No
Skill scan complete
No
Observed behavior
Local scripts
Last checked
Nov 5, 2026

These are observations at the recorded commit, not a guarantee of safety. Review the source before running it.

Install this skill

Choose an agent in your Stack or copy a command below. Commands fetch the pinned commit and copy only this skill directory. Existing destinations are refused. Copying a command does not install anything.

Standard SKILL.md format has not been attested at this commit. No installation command is available; inspect the source.

Repository context

Repository stars (not skill ratings)
133
Repository last updated
Mar 14, 2026
License
MIT

Observed agent integration: No specific integration evidence. Standard SKILL.md installation does not imply verified compatibility.

    Declared tags are partial or unavailable.

    Files and excerpt

    File metadata and permitted, redacted excerpts come from the recorded scan. Source links are pinned to that commit.

    Browse files
    Read excerpt
    # Expected Shortfall (CVaR) and Tail Risk Measurement

> Expected Shortfall calculation, advantages over VaR, regulatory adoption under FRTB, extreme value theory, and tail dependence modeling.

## When to Activate

- User needs a coherent risk measure that captures tail losses beyond VaR
- Regulatory capital computation under FRTB (Fundamental Review of the Trading Book)
- Portfolio optimization with tail risk constraints
- Analyzing extreme loss scenarios and tail dependence between assets
- Comparing ES across portfolios for risk budgeting
- Stress testing that requires understanding the full tail distribution

## Core Concepts