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| Value at Risk (VaR)× | Betinget Value-at-Risk (Forventet Underskud)× | |
|---|---|---|
| Fagområde | Finansiering | Finansiering |
| Familie | Regression model | Regression model |
| Oprindelsesår≠ | 2007 | 2000 |
| Ophavsperson≠ | Jorion (textbook benchmark); popularised by RiskMetrics / J.P. Morgan | Rockafellar & Uryasev (2000); Acerbi & Tasche (2002) |
| Type≠ | Financial risk measure | Coherent tail-risk measure |
| Oprindelig kilde≠ | Jorion, P. (2007). Value at Risk: The New Benchmark for Managing Financial Risk (3rd ed.). McGraw-Hill. ISBN: 978-0071464956 | Rockafellar, R. T. & Uryasev, S. (2000). Optimization of Conditional Value-at-Risk. Journal of Risk, 2(3), 21-41. DOI ↗ |
| Aliasser | VaR, value-at-risk, delta-normal VaR, historical simulation VaR | CVaR, expected shortfall, average value-at-risk, tail VaR |
| Relaterede | 5 | 5 |
| Resumé≠ | Value at Risk is a financial risk measure that estimates the maximum loss a position or portfolio could suffer over a fixed holding period at a given confidence level. It is the standard benchmark in risk management and regulatory capital calculations, developed in the textbook tradition of Jorion (2007) and the Basel market-risk framework. | 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. |
| ScholarGateDatasæt ↗ |
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