// multi-utility computation suite · offline · instant · precise
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finance.business-conditional-var Calculator
Calculates Conditional VaR (CVaR/Expected Shortfall) for a business finance portfolio — the average loss in the worst-case tail. CVaR is a coherent risk measure, unlike VaR — it satisfies the subadditivity property and provides a better characterisation of tail risk.
Inputs
Portfolio
Reference formula or conversion factor shown for context.
Vol
Reference formula or conversion factor shown for context.
Confidence
How certain you want to be that the interval contains the true value. 95% is standard. Going to 99% widens the interval.
Horizon
Reference formula or conversion factor shown for context.
Results
CVaR 1-day
Reference formula or conversion factor shown for context.
CVaR 10-day
Reference formula or conversion factor shown for context.
VaR 1-day
Reference formula or conversion factor shown for context.
CVaR %
Reference formula or conversion factor shown for context.