In my research, VaR in risk reporting has regularly come under criticism for not capturing tail-risk adequately and for creating a false sense of confidence when taken literally as "the maximum value that can be erased at a 1% event".
Since I have been asked to provide that metric now, I was wondering: Has the finance community already converged on a best-practice alternative?
What are measurements that I could offer as a more sensible alternative?
I know about Expected Shortfall (https://en.wikipedia.org/wiki/Expected_shortfall) also called CVaR, so I would be grateful to hear about how widespread its usage is. I haven't looked at EVaR yet, but I'm generally looking for any opinions and a debate about what measure has emerged to be considered robust and where the intuitive interpretation corresponds to it's mathematical properties.