השוואת שיטות

	Conditional Value-at-Risk (Expected Shortfall)	Exponential GARCH (EGARCH)
תחום	מימון	אקונומטריקה
משפחה	Regression model	Regression model
שנת המקור	2000	1991
הוגה השיטה	Rockafellar & Uryasev (2000); Acerbi & Tasche (2002)	Nelson
סוג	Coherent tail-risk measure	Conditional volatility model (asymmetric GARCH variant)
מקור מכונן	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.
כינויים	CVaR, expected shortfall, average value-at-risk, tail VaR	exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH
קשורות	5	4
תקציר	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.