What is VaR and what is Expected Shortfall.
Sigiloso
From a mathematic point of view, VaR is a quantile. Intuitively, VaR measures how bad things can be. And Expected Shortfall measures the downside risk below VaR. It is the expectation of the distribution under VaR. Intuitively, ES is a measure of how bad things can be if things go really bad.