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Expected shortfall (CVaR)
The average loss on the days beyond VaR — the size of the tail, not just its doorway.
Expected shortfall (also conditional VaR) is the mean loss conditional on being past the VaR threshold: if the worst 5% of days begin at −2.1%, CVaR tells you those days average, say, −3.4%. It measures the tail's mass where VaR only marks its edge, and unlike VaR it is a coherent risk measure — it rewards diversification consistently.
For strategies with short, fat-tailed histories, CVaR estimated from the raw sample is noisy; simulation (block bootstrap, fitted-tail models) is often the only way to see enough tail days to estimate it honestly.
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