Tail Risk ES99 Daily Portfolio Calculator

Compute 99% one-day Expected Shortfall using historical simulation, parametric normal, or Monte Carlo methods. Compare tail risk across different asset classes and portfolio configurations

Each component has a specific meaning:

• Historical simulation — The historical simulation recorded for the scenario being assessed.
• Parametric normal — The parametric normal recorded for the scenario being assessed.
• Or Monte Carlo methods — The or monte carlo methods recorded for the scenario being assessed.

Note: Interpret the tail risk es99 daily result against the thresholds and context described above.

Enter the historical simulation, parametric normal, or Monte Carlo methods for the scenario you are assessing. Compute 99% one-day Expected Shortfall using historical simulation, parametric normal, or Monte Carlo methods. Compare tail risk across different asset classes and portfolio configurations. Use the tail risk es99 daily result to inform your calculation.