Tail VaR vs Conditional VaR

Anyone know the difference between Tail VaR and Conditional VaR? :neutral_face:

The definitions in the curriculum are pretty much the same:

Tail VaR (aka conditional tail expectation): The VaR plus the expected loss in excess of VaR, when such excess loss occurs.

Conditional VaR: the average loss that would be incurred if the VaR cutoff is exceeded. Also goes by the name “expected tail loss” and “expected shortfall”

I guess they are used interchangeably and what we should know is only that it complements VaR and shows the amount of expected losses (based on average calculations) when VaR is exceeded.

I think one of them is total tail loss the other is tail loss beyond the VaR cutoff, but I’m not sure this is consistently used, so every institution should have their own precise definition.

Would be good to get a confirmation from someone though.

For our purposes, they are the same. Just need to know what they are vs. VaR or other static risk measures. Know their advantages, and when to use them. But yes, if there is a question, it probably only references one of them, and your response can be the same.