Am I right in interpreting Conditional VaR in the following way:
Conditional VaR is the average loss expected, if the loss breaches the VaR level.
Let’s say VaR is $1 million over a one day period, with a level of significance of 5%.
Conditional VaR is the average loss expected if the loss on my portfolio over a one-day period exceeds $1 million.
Is this interpretation correct?