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State the original gain outcomes
Suppose losses are −10 with probability 90% and −5 with probability 10%. They represent gains of 10 and 5 units, respectively. The larger loss number −5 is the worse economic outcome in this gain-only model.
Select the worse tail
At 95% confidence, the lower loss quantile is −5. The worst 5% mass lies inside the 10%-probability outcome at −5, so expected shortfall is also −5. Mean loss of the whole model is −9.5, a different summary.
| Measure | Loss units |
|---|---|
| Lower 95% quantile | −5 |
| 95% expected shortfall | −5 |
| Whole-model mean loss | −9.5 |
Keep any floor separately defined
Reporting zero instead would impose a nonnegative floor. That may be a distinct convention for another purpose, but it is not the signed measure calculated here. State a floor explicitly if a different task requires one.
Keep the declared-model scope
The example assumes only the two stated outcomes. It does not establish that a real position cannot lose money or that future risk is absent.