Explanation

Different VaR Measures:

• Conditional VaR (CVaR) - Also known as Expected Shortfall, this measures the average loss that occurs in the worst (1-α)% of cases, where α is the confidence level. It answers "how bad can it get when things go wrong?"

• Relative VaR - Measures the VaR relative to a benchmark or target return

• Incremental VaR - Measures the change in portfolio VaR when adding or removing a position

Correct Answer: Conditional VaR (CVaR) specifically measures the expected loss given that the VaR cutoff has been exceeded, providing information about the severity of losses in the tail of the distribution.