Complementing Value at Risk with Appropriate Measure

In a recent meeting with a client, you discussed various risk measures used to assess their investment portfolio. The client was particularly interested in how Value at Risk (VaR) is calculated and interpreted, considering potential losses over a specified time frame at a given confidence level.

However, the client also expressed concerns about the limitations of VaR in certain market conditions, especially during times of high volatility, and asked for an alternative risk measure that provides additional insights into potential extreme losses.

Which of the following risk measures would most appropriately complement VaR in this context?