Conditional Value-at-Risk (95%)
The average loss in the worst 5% of outcomes, capturing how bad things look beyond the VaR cutoff.
Category: Risk Measures
What is Conditional Value-at-Risk (95%)?
CVaR is preferred over VaR because it is coherent (subadditive) and pays attention to tail severity. It is the standard tail risk measure in modern risk management.
Formula
CVaR_{95} = E[L \mid L \ge VaR_{95}]