Evaluating Extreme Loss Potential with Risk Measures

Ella is a senior portfolio manager at a wealth management firm, overseeing a multi-asset class investment portfolio. She wants to evaluate the risk associated with the portfolio and uses several measures including Standard Deviation, Value at Risk (VaR), and Conditional Value at Risk (CVaR).

In her analysis, she finds that the portfolio has a high standard deviation, indicating greater volatility in returns. However, Ella is particularly interested in understanding the worst-case losses that could occur in extreme market conditions.

Which of the following risk measures would best help Ella evaluate the potential for extreme losses in her portfolio?