The **expected shortfall**, also known as **average value-at-risk** or **conditional value-at-risk**, is a coherent risk measure defined as

for for some .

The average value-at-risk can also be computed by the following useful formula

where is the value-at-risk of , that is

The average value-at-risk is the expectation of the part of a distribution that sits above its (1-a)-quantile. The average value-at-risk interpolates between the expectation operator (alpha=1) and the essential maximum (alpha=0).

We know that is **monotone**, i.e., whenever (a.s.).

Is it, however, true that whenever (a.s)? This property is known as strict monotonicity.

We know that this holds when is replaced with the expectation operation, whereas, for this not true.

The strict inequality above is because of the strict monotonicity property of the integral and the second inequality is because (a.s.) implies .

Note: and this is because .

Note: We have denoted by the expectation of the random variable conditioned by the event .

Now note that by convention; this is because and . Take such that (a.s.). Then (a.s.). In that case, however, we may have and ; take for instance and

over the domain .

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