16.4 VaRⅴs.CVaR (See Figures 16.1 and 16.2) Var is the loss level that will not be exceeded with a specified probability C-VaR is the expected loss given that the loss is greater than the var level Although C-Var is theoretically more appealing, it is not widely used Options, Futures, and other Derivatives, 5th edition 2002 by John C. HullOptions, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 16.4 VaR vs. C-VaR (See Figures 16.1 and 16.2) • VaR is the loss level that will not be exceeded with a specified probability • C-VaR is the expected loss given that the loss is greater than the VaR level • Although C-VaR is theoretically more appealing, it is not widely used