CVaR (conditional value at risk)
Glossary · Portfolio construction
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Definition
The expected loss in the worst X% of scenarios (for example the worst 5%). Also called expected shortfall.
A CVaR 95% of -12% means that in the worst 5% of outcomes, the average loss is 12%.
These definitions describe how ArthaPilot uses each term. For authoritative definitions, consult the SEC, IRS, or a qualified financial advisor.