Value at risk and expected shortfall, as positive losses in the returns' units: VaR is minus the return's level quantile, ES minus its mean below that quantile. level is the tail probability (0.01 for a 99 % VaR).
level
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Value at risk and expected shortfall, as positive losses in the returns' units: VaR is minus the return's
levelquantile, ES minus its mean below that quantile.levelis the tail probability (0.01 for a 99 % VaR).