विधियों की तुलना करें

	चरम मान सिद्धांत (EVT)	कंडिशनल वैल्यू-एट-रिस्क (अपेक्षित कमी)
क्षेत्र	वित्त	वित्त
परिवार	Regression model	Regression model
उद्भव वर्ष	2001	2000
प्रवर्तक	Coles (textbook treatment); McNeil, Frey & Embrechts	Rockafellar & Uryasev (2000); Acerbi & Tasche (2002)
प्रकार	Tail / extreme-event model	Coherent tail-risk measure
मौलिक स्रोत	Coles, S. (2001). An Introduction to Statistical Modeling of Extreme Values. Springer. ISBN: 978-1852334598	Rockafellar, R. T. & Uryasev, S. (2000). Optimization of Conditional Value-at-Risk. Journal of Risk, 2(3), 21-41.
उपनाम	EVT, generalized extreme value, generalized Pareto distribution, peaks over threshold	CVaR, expected shortfall, average value-at-risk, tail VaR
संबंधित	5	5
सारांश	Extreme Value Theory is a statistical framework for modelling the rare events that live in the tail of a probability distribution. As developed in Coles (2001) and applied to risk by McNeil, Frey & Embrechts (2005), it offers two standard routes: the Generalized Extreme Value (GEV) distribution for block maxima and the Generalized Pareto Distribution (GPD), used in the peaks-over-threshold approach, for exceedances above a high threshold.	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.