What is 'Conditional Value At Risk  CVaR'
Conditional value at risk (CVaR) is 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".
BREAKING DOWN '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.

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What does Value at Risk (VaR) say about the "tail" of the loss distribution?
Learn about value at risk and conditional value at risk and how both models interpret the tail ends of an investment portfolio's ... Read Answer >> 
What are some common measures of risk used in risk management?
Learn about common risk measures used in risk management and how to use common risk management techniques to assess the risk ... Read Answer >> 
What is backtesting in Value at Risk (VaR)?
Learn about the value at risk of a portfolio and how backtesting is used to measure the accuracy of value at risk calculations. Read Answer >> 
What is a "linear" exposure in Value at Risk (VaR) calculation?
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What do regulators think of Value at Risk (VaR)?
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What's the difference between EaR, Value at Risk (VaR), and EVE?
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