Expected Shortfall

USD $275


In this e-Learning course, we explore Expected Shortfall as a measure used for setting the minimum capital required for trading book risk exposure under Basel’s revised standards. We engage with you in practical exercises in Excel, to calculate Expected Shortfall and the resulting capital charge for a hypothetical trading book.

Who Should Enroll:

This course is ideal for risk managers, financial analysts, regulatory compliance professionals, and anyone interested in understanding the intricacies of Expected Shortfall and its role in setting trading book capital requirements. It is suitable for College and University students who aspire to become risk and finance professionals.

What You Will Gain:

Upon completing this course, you will:

  • Acquire a practical understanding of Expected Shortfall and its role in setting minimum capital requirements for trading book risk exposure under Basel’s standards.
  • Develop practical skills in mapping trading positions to risk factors for Expected Shortfall calculations using Excel.
  • Gain insights into Basel’s assignment of liquidity horizons to risk factors and the regulatory framework that influences these calculations.
  • Be proficient in calculating Expected Shortfall and the resulting capital charge for a hypothetical trading book, enhancing your risk assessment capabilities.

Course Duration:

45 minutes

Course Access Duration:

270 days starting from enrollment date.

Recommended Course Prerequisite:

Market Risk Capital


Audio-Visual Content and Course Duration:

  • The time that it takes to complete the course will be determined by your pace.
  • The total viewing time of lesson presentations is 1-1.5 hours;  individual lesson topics are between 5-15 minutes each, presented as audio-visual content.
  • The time needed to complete each exercise presented is between 10-20 minutes, based on your level of engagement.
  • The exam is allocated 1 hour.

Downloadable Content:

  • The exercises presented in lessons are provided in a downloadable Excel spreadsheet. This will enable you to practice the exercises, side-by-side with the lesson presentations.
  • A downloadable PDF is provided as a text version of the lessons presentations. This can be used as reference and to make notes, as you go through the presentations.

Exam and Certificate:

  • The course exam is comprised of questions in the form of true/false, multiple choice, sorting choice, and fill in the blank.
  • A personalized course certificate will be issued to you with a minimum score of 50%.


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