Tail value at risk (TVAR) - how to calculate

CFA Level III
#1

TVAR is VAR + expected loss in the tail (can be estimated by averaging the possible losses in the tail). However, I am not clear (if historical returns are given and we are calculating VAR using percentile method) on whether

It will be VAR (return at a specific percentile, for example 95%) + average of losses beyond it (96 percentile onwards)

or

VAR + average of all possible losses from 95th percentile onwards (VAR already includes the number from 95th percentile)

or

Average of all possible losses from 95th percentile onwards.

Please suggest. thanks

#2

They won’t ask calculation only need to know concept