A risk measure (value at risk, VaR) that quantifies the expected value of the loss arising on a portfolio/ a fund given that an event outside a given probability level has occurred. It is similar to the so-called economic cost of ruin (ECOR) in the sense that both the probability and cost of  side or extreme events (tail events) are accounted for (however, it is distinguished from from ECOR in that the VaR measure features a desirable statistical property (i.e., coherence).

CTE or Tail VaR captures the expected outcome (loss), conditional on the loss exceeding the normal value at risk, associated with the distribution involved.

This risk measure is also referred to as tail conditional expectation (TCE).