In financial risk management, the measurement and assessment of risk are most concerned problems for decision makers. Since TVaR measure is not only an improved VaR measure, but also  meets the consistency axiom of risk measurement, TVaR has been widely used in risk management. In this paper, Bayesian statistical models are given by applying both the sample information and the prior information of risks. The Bayesian estimation is employed in this model, and the strong consistency of Bayesian estimation of TVaR is proved. Finally, the simulation methods are given to investigate the estimation efficiency for different sample sizes. The results indicate that the estimator is still able to meet the needs of actual applications even in the small sizes.