BacktestFolio · Glossary
CVaR (95%)
In plain language
Answers the question: 'In the worst 5% of scenarios, how much do I lose on average?' It is more informative than VaR because it does not stop at the threshold but measures the magnitude of extreme losses.
Technical definition
Conditional Value at Risk (Expected Shortfall): average loss in the worst-case scenarios beyond the 95% VaR threshold for the same horizon, estimated on the historical distribution of the sample.