CVaR is a risk measure that quantifies the conditional expectation of losses exceeding Value at Risk. It is also referred to as Expected Shortfall and tail conditional expectation (TCE).
Recent times have been highly unpredictable and unexpected events have impacted the market with surprising regularity. When these market shocks occur and most portfolios are heavily exposed, CVaR focuses on methods that can minimize the severity of these events. This type of approach is typically used by long horizon investors such as pension funds and university endowments.