Expected Tail Loss (ETL)
The average loss in the worst-case scenarios — synonym for CVaR.
Expected Tail Loss (ETL), also called Conditional VaR (CVaR) or Expected Shortfall (ES), measures the average loss when losses exceed VaR. For example, if 95% VaR is $100k, ETL might be $150k — meaning when you're in the worst 5% of outcomes, you lose $150k on average. ETL is superior to VaR because it quantifies tail severity, not just the threshold. VaR says 'you'll lose more than $100k 5% of the time' but doesn't say how much more. ETL answers that: $150k on average. Basel III uses ETL (called ES) for trading book capital requirements because it's more sensitive to tail risk. Coherent risk measure: Unlike VaR, ETL satisfies all axioms of coherent risk measures (subadditivity, monotonicity, etc.).
DV01
Dollar change in value for a 1 basis point (0.01%) yield move.
CS01
Dollar change in value for a 1 basis point move in credit spread.
Macaulay Duration
The weighted average time (in years) to receive the bond's cash flows.
Modified Duration
Measures the percentage price change for a 1% yield change.
Convexity
Measures the curvature of the price-yield relationship — how duration itself changes.
Stress Test (Rate Shock)
Estimates impact of large yield moves using duration and convexity.