CVaR expected shortfall

CVaR, also known as expected shortfall, answers exactly what VaR leaves out: the average loss across the worst scenarios, those beyond the VaR threshold. That makes it a better description of tail risk and generally the more prudent measure. If VaR tells you where the bad day starts, CVaR tells you how bad it is on average.

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Definition for informational purposes. It is not financial advice nor a recommendation to buy or sell.