Conditional value-at-risk

Conditional Value-at-Risk (often shortened to CVaR) is a measure used to assess the risk of losing money when investing. It looks at the worst possible losses that your portfolio could reasonably face, taking into account the probability that they might occur. To understand CVaR better, it is helpful to break it down into two parts.

The first part is the "conditional" part. This means that the CVaR is looking at what could happen if a certain set of conditions are met. For example, if you were investing in the stock market, the conditions would be the state of the market - whether it's going up, down, or staying the same.

The second part of CVaR is the "value-at-risk" part. This is the amount of money that you might lose if you met the conditions mentioned before. It looks at the worst-case scenario for any investment you may make and helps you determine how much money you could potentially lose.

So, to summarize: CVaR is a measure of risk that looks at the worst-case scenarios for any investments you may make. It helps you determine how much money you could potentially lose if certain conditions are met.