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CVaR (Conditional Value at Risk)
Glossary · Portfolio Construction
Definition
The expected loss in the worst X% of scenarios (typically worst 5%). Also called expected shortfall.
A CVaR 95% of -12% means that in the worst 5% of outcomes, the average loss is 12%.
Terms are defined in the context of how ArthaPilot uses them. For authoritative definitions, consult the SEC, IRS, or a qualified financial advisor.