השוואת שיטות

	Conditional Value-at-Risk (Expected Shortfall)	תנודתיות ממומשת ומודל ה-HAR
תחום	מימון	מימון
משפחה	Regression model	Regression model
שנת המקור	2000	2009
הוגה השיטה	Rockafellar & Uryasev (2000); Acerbi & Tasche (2002)	Corsi (HAR model); Andersen, Bollerslev, Diebold & Labys (realized volatility)
סוג	Coherent tail-risk measure	Time-series regression of realized variance
מקור מכונן	Rockafellar, R. T. & Uryasev, S. (2000). Optimization of Conditional Value-at-Risk. Journal of Risk, 2(3), 21-41.	Corsi, F. (2009). A Simple Approximate Long-Memory Model of Realized Volatility. Journal of Financial Econometrics, 7(2), 174-196.
כינויים	CVaR, expected shortfall, average value-at-risk, tail VaR	realized variance, HAR model, heterogeneous autoregressive model of realized volatility, HAR-RV
קשורות	5	5
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.	Realized volatility estimates an asset's variance directly from high-frequency intraday returns rather than from a parametric latent process. The Heterogeneous Autoregressive (HAR) model of Corsi (2009), building on the realized-volatility framework of Andersen, Bollerslev, Diebold and Labys (2003), forecasts this measure by combining daily, weekly, and monthly volatility components, and is a strong alternative to GARCH for volatility prediction.