Expected shortfall is a measure of financial portfolio risk. It requires a quantile-level q, and is defined to be the expected loss of portfolio value given that the loss is occurring at or below the q-quantile.

For example, if we believe our average loss on the worst 5% of the possible outcomes for our portfolio is 1000 Euros, then we could say our expected shortfall is 1000 Euros for the 5% tail.

Among other names, ES is also known as XLoss (extreme loss), CVaR (conditional VaR), and ETL (expected tail loss).

Mathematically:

E(x | x > μ) where μ is threshold