השוואת שיטות

	Value at Risk (VaR)	Conditional Value-at-Risk (Expected Shortfall)
תחום	מימון	מימון
משפחה	Regression model	Regression model
שנת המקור	2007	2000
הוגה השיטה	Jorion (textbook benchmark); popularised by RiskMetrics / J.P. Morgan	Rockafellar & Uryasev (2000); Acerbi & Tasche (2002)
סוג	Financial risk measure	Coherent tail-risk measure
מקור מכונן	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.
כינויים	VaR, value-at-risk, delta-normal VaR, historical simulation VaR	CVaR, expected shortfall, average value-at-risk, tail VaR
קשורות	5	5
תקציר	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.