Conditional value at risk

Conditional Value at Risk (CVaR) is a way of measuring how much money you might lose on an investment or trade over a certain period of time. It measures the worst-case scenario - so if things don't go your way, how bad can it get?

Basically, imagine you're playing a game where you could lose money. CVaR is like trying to figure out what the biggest possible loss could be. To do this, you would look at all the possible outcomes of the game, and figure out the most money you could possibly lose. That's your CVaR.