Entropic value at risk
= Entropic value at risk
{wiki=Entropic_value_at_risk}
Entropic Value at Risk (EVaR) is a risk measurement tool that extends the traditional notion of Value at Risk (VaR). Traditional VaR estimates the maximum potential loss an investment portfolio could experience over a specified time period at a given confidence level. However, VaR has limitations, such as its inability to provide information about the tail risk—the risk of extreme losses beyond the VaR threshold.