Conditional Value at Risk (CVaR) — also known as Expected Shortfall (ES) — is a risk measure that quantifies the expected average loss of a portfolio or investment in the worst-case scenarios beyond the Value at Risk (VaR) threshold. While VaR tells you the maximum loss at a given confidence level (e.g., 95%), CVaR tells you the average expected loss in the scenarios that exceed that VaR threshold — providing a more comprehensive view of tail risk. CVaR is increasingly preferred over VaR by regulators and risk managers because it captures the severity of extreme loss events, not just their probability threshold. For sophisticated investors and portfolio managers on Ventura Securities operating in equity, derivatives, or multi-asset portfolios, CVaR is an essential tool for stress-testing and tail risk management.
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