Portfolio Analytics

Conditional Value at Risk

Definition

What is Conditional Value at Risk?

The average loss expected beyond a Value at Risk threshold.

Example in practice

CVaR estimates the severity of losses on the worst days rather than only the cutoff.

Keep learning

A statistic ranging from minus one to plus one that describes how two return series move together.

A relationship in which two assets tend to move in the same direction.

A relationship in which two assets tend to move in opposite directions.

An analysis of portfolio performance under severe but plausible scenarios.

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