Let’s call it Conditional Value-at-Risk (CVaR).

I am often surprised by how the same quantity has so many different names. For example: Conditional Value-at-Risk (CVaR), Expected Shortfall (ES), Average Value-at-Risk (AVaR) and Expected Tail Loss (ETL).

I prefer Conditional Value-at-Risk (CVaR) because it clearly describes what it is: the conditional expectation below the Value-at-Risk (VaR).

It is also worth noting that the people who work with practical applications of this risk measure call it CVaR.

Since it is practice that impacts our daily lives, I think practitioners' terminology deserves extra attention.

See what you can do with modern technology and CVaR here: