Exercise

# Historical expected shortfall

**Expected Shortfall**, otherwise known as **CVaR**, or conditional value at risk, is simply the expected loss of the worst case scenarios of returns.

For example, if your portfolio has a VaR(95) of -3%, then the CVaR(95) would be the average value of all losses exceeding -3%.

Returns data is available (in percent) in the variable `StockReturns_perc`

. `var_95`

from the previous exercise is also available in your workspace.

Instructions

**100 XP**

- Calculate the average of returns in
`StockReturns_perc`

where`StockReturns_perc`

is less than or equal to`var_95`

and assign it to`cvar_95`

. - Plot the histogram of sorted returns (
`sorted_rets`

) using the`plt.hist()`

function.