Conditional Value at Risk
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; it is commonly referred to as Expected Shortfall (ES).
Example: In a risk assessment, a firm reports CVaR at the 99% level to describe the average loss in the worst 1% of historical outcomes, illustrating potential tail losses beyond VaR.
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