DEFINITION of 'Conditional Value At Risk  CVaR'
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".
INVESTOPEDIA EXPLAINS 'Conditional Value At Risk  CVaR'
Conditional Value at Risk was created to be an extension of Value at Risk (VaR). The VaR model does allow managers to limit the likelihood of incurring losses caused by certain types of risk  but not all risks. The problem with relying solely on the VaR model is that the scope of risk assessed is limited, since the tail end of the distribution of loss is not typically assessed. Therefore, if losses are incurred, the amount of the losses will be substantial in value.

Risk Assessment
The process of determining the likelihood that a specified negative ... 
Actuary
A professional statistician working for an insurance company. ... 
Value At Risk  VaR
A statistical technique used to measure and quantify the level ... 
Market Risk
The possibility for an investor to experience losses due to factors ... 
Risk
The chance that an investment's actual return will be different ... 
Weighted Average
An average in which each quantity to be averaged is assigned ...

Bonds & Fixed Income
Accelerating Returns With Continuous Compounding
Investopedia explains the natural log and exponential functions used to calculate this value. 
Options & Futures
An Introduction To Value at Risk (VAR)
Volatility is not the only way to measure risk. Learn about the "new science of risk management". 
Active Trading Fundamentals
How To Convert Value At Risk To Different Time Periods
Volatility is not the only way to measure risk. Learn about the "new science of risk management". 
Fundamental Analysis
Monte Carlo Simulation With GBM
Learn to predict future events through a series of random trials. 
Economics
How A Limited Government Affects A Country's Finances
Countries with limited governments have fewer laws about what individuals and businesses can and canâ€™t do. What's the net result? 
Personal Finance
What is the average salary for an accountant?
Learn about the average salaries of various accounting positions, and see the difference that an accounting degree makes in attaining higher wages. 
Fundamental Analysis
Lognormal and Normal Distribution
When and why do you use lognormal distribution or normal distribution for analyzing securities? Lognormal for stocks, normal for portfolio returns. 
Economics
Is the Bureau of Labor Statistics accurate?
Read this brief analysis of the accuracy of Bureau of Labor Statistics, including a summary of the types of reports issued and how they are compiled. 
Economics
Where is cost of living lowest in the world?
Learn how the cost of living is the lowest in India based on numbers derived from the CPI and organizations like Expatistan and Numbeo. 
Investing Basics
How Does Goodwill Affect Financial Statements?
Goodwill is a bit of a paradoxintangible, yet it is recorded as an asset on the purchasing company's balance sheet.