In order to avoid only considering the severity of the fault in the screening and ranking, a new contingency screening and ranking method is proposed. It is based on the calculation of the dynamic security region and expected shortfall is the indicator of contingency screening and ranking. It takes account into the economy and randomness of the power system when fault occurs, so it accords to the actual situation. First, according to experience fault sets, we can calculate dynamic security region of power system by analytic method of small range when the fault occurs, then calculate the improved probabilistic insecurity index and expected shortfall. According to the proportion in the fault sets, we can screen fault line that the expected shortfall is relatively large, then put these fault lines into screening sets. Then, according to the curve that ratio is controlled by error, we can control the accuracy of the calculation of dynamic security region and recalculate dynamic security region of power system, expected shortfall and the proportion when the fault occurs. We can have fault ranking according to the proportion. Case studies on New England 10-machine 39-bus system show that the proposed method can realize the contingency screening and ranking quickly, fully and accurately.