Risk Plan25 / 60
MediumPortfolio & Risk
CVaR / Expected Shortfall
AQR CapitalTwo Sigma
What is Expected Shortfall (CVaR) at the 95% level, and how does it compare to the 95% VaR? Why might a risk manager prefer it?
Hints
It averages the losses beyond the VaR cutoff.
Think about whether it captures tail severity.
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