Summary

The elEs function retrieves the expected shortfall for a list of instruments.

Examples

=elEs("positions","US0378331005")

Retrieves the expected shortfall of an Apple share using the default calculation parameters.

=elEs("positions",A2:A10)

Retrieves the expected shortfall of a list of instruments provided in cells A2 to A10.

=elEs("positions","US0378331005",,,"30d")

Retrieves the expected shortfall of an Apple share over a horizon of 30 days.

=elEs("portfolio",C11:C50)

Retrieves the aggregate expected shortfall of a portfolio of instruments provided in cells C11 to C50.

=elEs("portfolio",C11:C50,,"EUR","252d",90,"historicalInnovation")

Retrieves the aggregate expected shortfall of a portfolio in EUR whose positions are located in C11:C50. The parameters are a risk horizon of 252 days, a confidence level of 90% and historical innovation that is the model from which the assets’ risk factors are drawn.

=elEs("contributions",C11:C50,,"EUR","252d",90,"historicalInnovation")

Retrieves the contribution of each position located in C11:C50 to the aggregated expected shortfall of a portfolio in EUR. The function uses a risk horizon of 252 days, a confidence level of 90% and historical innovation that is the model from which the assets’ risk factors are drawn.

Syntax

elEs(CalculationsLevel, AssetIDs[], Quantities[], Currency, 
	RiskHorizon, ConfidenceLevel, ScenarioType, 
	MeasureType, Annualized)
Argument name Default Description
CalculationsLevel   The granularity at which the results should be calculated (individual asset, portfolio).
AssetIDs   Single or multiple asset identifiers (ISIN, FIGI, currency ISO, Edgelab ID).
Quantities (Optional) 1 Asset quantities in the same orders as the specified asset ids.
Currency (Optional) local The ISO code of the reference currency for deriving the calculation results. Specify “local” to use the instruments native currency where appropriate. It is mandatory to specify a currency when the granularity is “portfolio”.
RiskHorizon (Optional) 10 The time interval over which the risks are estimated (i.e. between now and now + risk-horizon).
ConfidenceLevel (Optional) 0.95 The confidence level for the tail statistics estimators VaR and ES. It is number in percent between 85 and 99 [%].
ScenarioType (Optional) historicalInnovation How the possible scenarios for the asset prices are computed.
MeasureType (Optional) relative Whether the result should be normalized. The input should be “relative” or “absolute”. “True” or “False” are still supported for the moment.
Annualized (Optional) true Whether the result should be expressed as an annualized figure. True or False.