Expected shortfall could be defined as; it is the average of expected losses which could be equal to the Value at risk or greater than the value at risk. Where Value at risk is could be defined for the level of loss which is exceeded in a certain level of the confidence during a pre-defined time period.

The expected shortfall could be expressed as the conditional Value at risk, where the standard Value at risk represents the as the worst possible loss under the simple situation over the specific period on a given confidence level.