CVAR

[Kavita.bhangdia]

HI David,

I dont know why but I am really confused about how to calculate CVAR.

I read that CVAR is the total loss net of expected loss.
Does that mean CVAR = Total loss-expected loss?

or CVAR is unexpected loss..?

How do we calculate CVAR.

Thank,
Kavita

 

[Nicole Seaman]

Hello @Kavita.bhangdia

Here is another forum thread that may help to answer your question: https://forum.bionicturtle.com/threads/expected-loss-and-credit-var.8833/#post-36975. If you use the search function, there are other threads that also discuss calculating CVAR. Hope this helps!

Nicole

 

[David Harper CFA FRM]

Thanks @Nicole Manley perfect reference!