Conditional VaR (CVaR)
The average loss on the days worse than the VaR threshold — the size of the bad days, not just their frequency.
Formula
CVaR 95% = mean of daily returns ≤ the 5th percentile
How to read it
Always at least as bad as VaR. Also called expected shortfall (ES).
How to use it
Sizes the bad days themselves, which is what a drawdown is made of.
Limitations
Rests on few observations: at 95%, one day in twenty.
In Kereon
Portfolio. The mean of the daily returns at or below the VaR percentile, over the same price history.
Also called: conditional var, cvar, cvar in dollars, es 95, es 99, expected shortfall.