Comparer des méthodes

	Mesures de risque de la queue (Expected Shortfall, spectrales, expectiles)	Régression quantile
Domaine	Finance	Économétrie
Famille	Regression model	Regression model
Année d'origine	1999	1978
Auteur d'origine	Artzner, Delbaen, Eber & Heath (coherent risk axioms); Acerbi & Tasche (Expected Shortfall)	Koenker & Bassett
Type	Coherent tail risk measure	Conditional quantile regression
Source fondatrice	Artzner, P., Delbaen, F., Eber, J.-M. & Heath, D. (1999). Coherent Measures of Risk. Mathematical Finance, 9(3), 203–228.	Koenker, R. & Bassett, G., Jr. (1978). Regression Quantiles. Econometrica, 46(1), 33-50.
Alias	expected shortfall, conditional value at risk, CVaR, spectral risk measure	conditional quantile regression, regression quantiles, Kantil Regresyon
Apparentées	5	5
Résumé	Tail risk measures quantify the loss distribution beyond Value-at-Risk (VaR). Expected Shortfall — the expected loss given that VaR is exceeded — is the leading coherent risk measure, formalised by Artzner, Delbaen, Eber and Heath (1999) and shown to be coherent by Acerbi and Tasche (2002). Spectral and expectile-based measures generalise it.	Quantile regression models conditional quantiles of an outcome - the median, the 25th or 75th percentile, and so on - rather than the conditional mean that OLS targets. Introduced by Koenker and Bassett in 1978, it reveals how predictors act across the whole distribution, including its tails.