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Synonym for CVaR. Two names, same calculation.
Expected Shortfall is a synonym for CVaR — the expected magnitude of loss given that the loss exceeds the VaR threshold. Preferred over VaR by modern regulators (Basel III) because it is mathematically coherent and reveals tail-risk severity that VaR alone hides.
ES_α = E[Loss | Loss > VaR_α] ≡ CVaR_αESα = E[Loss | Loss ≥ VaRα]Expected Shortfall = CVaR = Conditional Tail Expectation. All the same.
"Expected Shortfall" is the name preferred in academic finance and Basel regulations. "CVaR" is the name preferred in practitioner literature and trading software. The math is identical.
See the CVaR worked example.
See CVaR for ranges and interpretation.
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Open the Value at Risk Calculator →CVaR (Conditional Value at Risk) · Value at Risk (VaR) · CDaR (Conditional Drawdown at Risk)
Yes — same calculation, different name.
In academic and regulatory contexts, Expected Shortfall. In trading and practitioner contexts, CVaR. They are interchangeable.
Yes — labeled "CVaR" but mathematically identical to Expected Shortfall.
Because Expected Shortfall is subadditive (mathematically coherent) and captures tail severity. VaR is neither.
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