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The average loss that occurs in scenarios where losses exceed the Value at Risk threshold.
The average loss that occurs in scenarios where losses exceed the Value at Risk threshold.
Conditional Value at Risk (also known as Expected Shortfall) measures tail risk by calculating the expected value of losses conditional on the loss exceeding the standard VaR cutoff.
Coherent risk measure that satisfies sub-additivity (accounts for diversification benefits).
Selected by Basel III regulatory framework as the primary market risk capital metric.
Captures extreme fat-tail risk severity.