What Does Conditional Value At Risk – CVaR Mean?
A risk assessment technique often used to reduce the probability a portfolio will incur large losses. This is performed by assessing the likelihood (at a specific confidence level) that a specific loss will exceed the value at risk. Mathematically speaking, CVaR is derived by taking a weighted average between the value at risk and losses exceeding the value at risk. This term is also known as “Mean Excess Loss”, “Mean Shortfall” and “Tail VaR”.
