Expected shortfall

The average loss on the days when the value-at-risk threshold is breached. It answers the question value at risk leaves open.

Where a 95% one-day figure is 2.96%, the expected shortfall might be around 3.7%, depending on the tail shape.

It has better mathematical properties than value at risk, including behaving sensibly when portfolios are combined, and it has progressively replaced it in regulatory frameworks.

It still depends on an estimate of a tail that is, by definition, rarely observed.