My Portfolio Expected shortfall is > 100%?

Q&A
1

hi,
My portfolio beta = 0.7, VaR = 28.31% and ES = 101.3%
Does it make sense to have ES > 100% ?

thanks,
bk

2

Hi BK,

Mathematically, it is possible due to the multiplier used => https://www.risk.net/risk-magazine/technical-paper/1506669/var-versus-expected-shortfall

However, assuming that you are not leveraging nor shorting, then you are right, it would be weird to have Expected Shortfall more than 100% practically.

I propose that we keep it as it is since it is just an estimation of expected loss in the worst case scenarios.

Cheers,
Evan