قارن الطرق

	نظرية القيم القصوى (EVT)	القيمة المعرضة للخطر المشروطة (النقص المتوقع)	نموذج آرتش الأسي (EGARCH)
المجال	التمويل	التمويل	الاقتصاد القياسي
العائلة	Regression model	Regression model	Regression model
سنة النشأة	2001	2000	1991
صاحب الطريقة	Coles (textbook treatment); McNeil, Frey & Embrechts	Rockafellar & Uryasev (2000); Acerbi & Tasche (2002)	Nelson
النوع	Tail / extreme-event model	Coherent tail-risk measure	Conditional volatility model (asymmetric GARCH variant)
المصدر التأسيسي	Coles, S. (2001). An Introduction to Statistical Modeling of Extreme Values. Springer. ISBN: 978-1852334598	Rockafellar, R. T. & Uryasev, S. (2000). Optimization of Conditional Value-at-Risk. Journal of Risk, 2(3), 21-41.	Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370.
الأسماء البديلة	EVT, generalized extreme value, generalized Pareto distribution, peaks over threshold	CVaR, expected shortfall, average value-at-risk, tail VaR	exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH
ذات صلة	5	5	4
الملخص	Extreme Value Theory is a statistical framework for modelling the rare events that live in the tail of a probability distribution. As developed in Coles (2001) and applied to risk by McNeil, Frey & Embrechts (2005), it offers two standard routes: the Generalized Extreme Value (GEV) distribution for block maxima and the Generalized Pareto Distribution (GPD), used in the peaks-over-threshold approach, for exceedances above a high threshold.	Conditional Value-at-Risk (CVaR), also called Expected Shortfall, is a coherent tail-risk measure that quantifies the conditional expectation of losses beyond the Value-at-Risk threshold. It was introduced for optimization by Rockafellar and Uryasev (2000) and shown to be coherent by Acerbi and Tasche (2002), and it has replaced VaR as the regulatory standard under Basel III/IV.	EGARCH is an asymmetric GARCH variant, introduced by Nelson in 1991, that models the leverage effect in which bad news raises volatility more than good news of the same size. It captures the negative-shock asymmetry of financial return series by modelling the logarithm of the conditional variance.