CVaR
InvestingDefinition
Conditional Value at Risk (also called Expected Shortfall). The expected loss GIVEN that the loss exceeds the VaR threshold. Captures tail-risk severity better than VaR alone.
Increasingly favored over VaR by regulators and sophisticated risk teams. Basel III replaced VaR with Expected Shortfall (97.5% confidence) for bank market-risk capital starting 2023.
Increasingly favored over VaR by regulators and sophisticated risk teams. Basel III replaced VaR with Expected Shortfall (97.5% confidence) for bank market-risk capital starting 2023.