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 OTC trades, the counterparty fund. Also referred to as 'conditional VaR'.