Answer: Conditional VaR

## 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.

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