I use the Monte-Carlo Simulation for the computation of VaR and CVaR and wish to compute the 95% Confidence Interval of my result(not the confidence level of VaR). In the case of VaR this is simple the confidence interval on a quantile given by the formula $$\frac{r}{100}=\alpha+\sqrt\frac{\alpha(1-\alpha)}{m} N^{-1}(\frac{1-\beta}{2})$$ where $\alpha$ denotes the confidence level of VaR(the quantile) and $\beta$ the desired confidence Interval in percentage.
Question: How can I calculate the confidence Interval for CVaR? As the CVaR is a conditional expectation, I have two statistical errors, one on the quantile and one on the computation of expectation using Monte-Carlo. How can I find a formula for this.