It stands for generalized value at risk (generalized VaR); a type or method of value at risk (VaR) that subjects the standard value at risk (for optimization of a portfolio/ a fund, etc.) to two constraints: a conditional value at risk or censored mean lower bound. The censored mean, for normal distributions (but not fat-tailed distributions), is equivalent to the statistical hazard function. The censored mean for normal distributions would yield wider bounds for a given set of admissible portfolios, with a more complicated portfolio choice rule.

In other contexts, GVaR may also denote other types of VaR including global value at risk (global VaR), Gaussian value at risk (Gaussian VaR), glue value at risk (glue VaR), etc.