Conditional Value at risk (CVaR)

PrepNuggets

The expected value of a loss, given that the loss exceeds a minimum amount.  Instead of knowing the probability, we get the expected value of the loss if the loss exceeds that minimum.  For example, a bank’s CVaR may be “if the one-day loss exceeds $2 million, the expected loss is $2.6 million”.   The CVaR is in this case is $2.6 million.

See also: VaR

« Back to Index