Calculate conditional var / expected shortfall from your own figures.
Calculated in your browser. No account required. Illustrative estimate. Review the assumptions before using the result.View calculation table
How this calculation works
CVaR = Average loss among outcomes beyond VaR threshold
Enter the labelled inputs. Percent fields use 5 for 5%. Specify confidence and loss convention.
A worked example
Historical returns (%): -10,-5,0,2,3,8; Confidence: 95 %. Conditional VaR / Expected Shortfall: 10%.
Assumptions and limitations
Specify confidence and loss convention. All monetary inputs must use one currency and time period unless conversion is explicit. Manual inputs only; no live prices or official rule tables. Expected shortfall averages the worst (1-confidence) fraction of observations using fractional weight at the boundary; positive numbers mean losses.
Common questions
Why can my actual result differ?
Specify confidence and loss convention. All monetary inputs must use one currency and time period unless conversion is explicit. Manual inputs only; no live prices or official rule tables. Expected shortfall averages the worst (1-confidence) fraction of observations using fractional weight at the boundary; positive numbers mean losses.
Are my inputs saved?
The calculator code processes inputs within your browser and does not send them to our server or save them in browser storage. Downloads and copied summaries remain under your control.