Comparer des méthodes

	Valeur à Risque (VaR)	Valeur à risque conditionnelle (Expected Shortfall)
Domaine	Finance	Finance
Famille	Regression model	Regression model
Année d'origine	2007	2000
Auteur d'origine	Jorion (textbook benchmark); popularised by RiskMetrics / J.P. Morgan	Rockafellar & Uryasev (2000); Acerbi & Tasche (2002)
Type	Financial risk measure	Coherent tail-risk measure
Source fondatrice	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.
Alias	VaR, value-at-risk, delta-normal VaR, historical simulation VaR	CVaR, expected shortfall, average value-at-risk, tail VaR
Apparentées	5	5
Résumé	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.