Expected Shortfall

USD $275


Learning Objectives:

  • Develop a general understanding of Expected Shortfall as a measure that is used to set the minimum capital required for trading book risk exposure, under Basel’s revised standards.
  • Examine the process of mapping trading positions to risk factors for the purpose of calculating Expected Shortfall (Excel).
  • Review Basel’s assignment of liquidity horizons to risk factors.
  • Calculate the Expected Shortfall and resulting capital charge for a hypothetical trading book (Excel).
  • Understand the mechanics of using the Indirect Approach when risk factor market data are unavailable.
  • Examine the interaction between the Internal Models Approach, which includes Expected Shortfall, and the Standardized Approach, in setting minimum capital.


45 minutes


Target audience

  • Staff and management in Risk, Finance, Operations, Audit, Risk IT, and Front Office, in financial organizations globally.
  • College and University students who aspire to become risk management professionals.

Recommended Course Prerequisites:

Market Risk Capital

How long do I have to complete this course?

You will have access to course content for 270 days from enrollment date and can choose to complete the course at any time during this period.


Audio-Visual Content and Course Duration:

  • The time that it takes to complete the course will be determined by your desired pace. It’s estimated that you will spend up to 2 hours to complete the course.
  • 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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