Library term·Portfolio & valuation
Expected Shortfall / CVaR as a Preferred Tail Risk Functional vs VaR
Sub-additivity intuition, optimisation as linear program surrogate, coherence debates and Basel-era regulatory context.
Authored by·Editorially reviewed
Onur Erkan YıldızFounder, Financial Engineer · CMB-licensed
Higher education in Financial Engineering and Money & Capital Markets. SPK (Turkey CMB) licence. 16 years across institutional markets, research, and quant-driven analytics.
Definition
(mathrm{CVaR}_\alpha) averages losses beyond (mathrm{VaR}_\alpha) — integrates severity, not mere threshold breach.Property
Desirable tail risk metrics often satisfy sub-additivity (portfolio diversification reduces risk).Optimisation convex linearised surrogates enable tractable optimisation for some universes.
Practitioner note
Liquidity-adjusted tails still require scenario engineering beyond historical quantiles.Finvestopia
Stress narratives cite tail integrals intuitively — this entry formalises the vocabulary.Related entries
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Educational content authored by our team — informational only, not investment advice.