Expected Shortfall (CVaR) 95% aur 99%: practical guide

CVaR 95% aur 99% kya batata hai

Expected Shortfall (CVaR) VaR threshold ke baad worst tail me average loss estimate karta hai.

$CVaR_c = -E[R \mid R \le Q_{1-c}(R)]$

Quick example

Portfolio value 100,000 ho aur:

• VaR 95% = 2,100
• CVaR 95% = 3,000

Matlab, VaR break hone ke baad expected average loss 3,000 ke kareeb ho sakta hai.

CVaR kyun important hai

• VaR cutoff deta hai.
• CVaR cutoff ke baad ki severity dikhata hai.

Fat-tail market me CVaR aksar better downside signal deta hai.

Practical use

• Similar expected return wali allocations ka tail-risk compare karo.
• Risk limits me CVaR include karo.
• CVaR ko drawdown ke saath combine karo.

Next step

• Risk profile Wallible app me check karo
• Portfolio backtesting me scenarios compare karo
• Related guides: VaR 95%/99% , Recovery Factor , Maximum Drawdown