Page 67 - PRIAA Glossary

EXPECTED RECOVERY RATE (ERR)
The recovery rate expected by the market at the point of an entity going into insolvency proceedings. In efficient markets, defaulted bonds will theoretically trade at the ERR.
EXPECTED SHORTFALL
An alternative to measuring risk by value at risk (VAR),
the expected shortfall is a statistical measurement of the expected loss of a portfolio over a specified period of time at a specified confidence level, q. The expected shortfall concentrates solely on the end of the VAR curve where maximum losses occur. This may come into play when calculating the initial margin a fund must post to a central counterparty (CCP) or in over-the-counter (OTC) trades, the counterparty fund. Also referred to as “conditional VaR”.
EXPIRATION DATE
The last date on which an option can be exercised. After this date, the option is deemed to lapse or be abandoned.
EX-POST RISK
The risk a portfolio has taken based on historical data. An investor may choose to compare the ex-post risk taken by the portfolio manager compared with the original expected level of risk to determine the total returns on the portfolio. Opposite of “ex ante risk”.
EXPOSURE PROFILE
A graphical representation of the variation of expected exposure of a portfolio over time. Specifically, this representation contains a sequence of future credit exposure values set against pre-determined timeframes until the furthest-to-maturity asset in the portfolio reaches maturity.
EX-SHIP
A trading contract delivery provision whereby responsibility for any risks associated with the cargo resides with the shipper until the ship has arrived at the designated port and the cargo is available for delivery.
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