Conditional VaR
The average loss on the days that were worse than the VaR.
In the demo portfolio
-3.39%
How it is computed here
The mean of every daily return below the 5th percentile, on today's market value.
Worked example
- Take the worst 5% of days — the ones beyond the VaR line — and average them.
- Their average is -3.39%: how bad the bad days are, not just where they start.
Demo portfolio: four invented companies, generated prices, measured by the real engine. Past returns do not predict future ones.
Where it misleads
This is the figure a risk committee actually looks at, because two portfolios with the same VaR can have very different catastrophes behind that line.