Tail value at risk or tail conditional expectation

{
  "id": "MLC-T-INS-003275",
  "term": "Tail value at risk or tail conditional expectation",
  "field": "Insurance and risk management",
  "definition": "A risk measure that quantifies the expected loss in the event that a loss exceeds the value at risk (VaR) threshold. Also known as conditional value at risk (CVaR), it calculates the average of all losses in a specified tail of the distribution, providing a more complete picture of downside risk than VaR alone. For example, if a portfolio's one-day 95% VaR is $1 million, the tail value at risk would be the average of all losses that exceed $1 million.",
  "url": "https://mlchart.com/terminology/insurance/tail-value-at-risk-or-tail-conditional-expectation/"
}