[Verse 1]
When VaR tells you the worst-case scenario
Five percent chance you'll lose this much or more
But what happens in that nightmare territory?
VaR stays silent, leaves you wanting more
[Chorus]
Expected Shortfall shows the pain beyond
Conditional Value at Risk responds
When losses breach that VaR frontier
CVaR reveals what you should truly fear
It's the average of the tail's despair
Expected Shortfall takes you there
[Verse 2]
Picture a cliff where VaR draws the line
Ninety-five percent of outcomes stay benign
But Expected Shortfall jumps off that ledge
Measures the carnage past VaR's edge
[Chorus]
Expected Shortfall shows the pain beyond
Conditional Value at Risk responds
When losses breach that VaR frontier
CVaR reveals what you should truly fear
It's the average of the tail's despair
Expected Shortfall takes you there
[Bridge]
VaR says "here's the threshold of doom"
CVaR says "let me show you the tomb"
Average losses in that darkest zone
Where portfolio nightmares find their home
[Verse 3]
Coherent measure, subadditive too
Convex and monotone, mathematically true
While VaR can mislead with its simple threshold
CVaR gives wisdom that's worth more than gold
[Final Chorus]
Expected Shortfall shows the pain beyond
Conditional Value at Risk responds
When disasters strike your portfolio's core
CVaR tells you exactly what's in store
It's the average of the tail's despair
Expected Shortfall takes you there
Beyond VaR, the truth is waiting there