Conditional Value-at-Risk - CVaR

 

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CVaR is also referred to as expected shortfall (ES), average value at risk (AVaR) or expected tail loss (ETL).

The "5% CVaR" measure is the expected return on the portfolio in the worst 5% of scenarios over the specified time horizon.

The 1 year 5% CVaR corresponds to the expected shortfall of the 1 year investment horizon.