Conditional Value at Risk (CVaR)
Conditional Value at Risk (CVaR) is a risk measure that estimates the average loss in the tail of the loss distribution beyond a specified Value at Risk (VaR) threshold.
Example: For a 5% CVaR calculated on a 1-day horizon, if the 95% VaR is $2 million, the 5% CVaR may be around $2.5 million, representing the average loss on the worst 5% of days.
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