Portfolio Analytics
Conditional Value at Risk
Definition
What is Conditional Value at Risk?
The average loss expected beyond a Value at RiskAn estimate of a loss threshold that should not be exceeded at a stated confidence level over a stated period, under model assumptions. threshold.
Example in practice
How This Looks in Practice
CVaR estimates the severity of losses on the worst days rather than only the cutoff.
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Related Terms
Portfolio Analytics
Correlation
A statistic ranging from minus one to plus one that describes how two return series move together.
Portfolio AnalyticsPositive Correlation
A relationship in which two assets tend to move in the same direction.
Portfolio AnalyticsNegative Correlation
A relationship in which two assets tend to move in opposite directions.
Risk ManagementStress Test
An analysis of portfolio performance under severe but plausible scenarios.