विधियों की तुलना करें

	कंडिशनल वैल्यू-एट-रिस्क (अपेक्षित कमी)	एक्सपोनेंशियल GARCH (EGARCH)
क्षेत्र	वित्त	अर्थमिति
परिवार	Regression model	Regression model
उद्भव वर्ष	2000	1991
प्रवर्तक	Rockafellar & Uryasev (2000); Acerbi & Tasche (2002)	Nelson
प्रकार	Coherent tail-risk measure	Conditional volatility model (asymmetric GARCH variant)
मौलिक स्रोत	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.
उपनाम	CVaR, expected shortfall, average value-at-risk, tail VaR	exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH
संबंधित	5	4
सारांश	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.