What defines a good investment risk measure?

First and foremost, it focuses on large losses and is meaningful for fully general return distributions. Second, it is fairly easy to interpret and intuitively understand.

The first requirement follows directly from people's aversion to large losses and the fact that investment markets follow complex distributions.

The second is a practical consideration. If we have two tail risk measures with essentially the same objective, the one that we can more easily understand is preferable.

Conditional Value-at-Risk (CVaR) satisfies both criteria. Hence, it is becoming the preferred tail risk measure among both investment managers and market makers.