VaR Edge Includes Expected Shortfall in its VaR Engine

(1 Nov 2013) Risk Edge Solutions today announced that has now incorporated Expected Shortfall in its VaR Engine. The reporting framework of VaR Edge Software will now allow its users to see and analyse their risks using Expected Shortfall. RES also mentioned that this is a great leap forward for all commodity risk practitioners, as they will be able to see their risks beyond VaR as well now. Expected Shortfall, or Conditional VaR is the amount of loss a portfolio can suffer if its VaR is breached.