विधियों की तुलना करें

	पूंछ जोखिम माप (अपेक्षित अल्पता, स्पेक्ट्रल, एक्सपेक्टाइल)	वित्तीय श्रृंखलाओं के लिए मार्कोव रेजीम-स्विचिंग मॉडल
क्षेत्र	वित्त	वित्त
परिवार	Regression model	Regression model
उद्भव वर्ष	1999	1989
प्रवर्तक	Artzner, Delbaen, Eber & Heath (coherent risk axioms); Acerbi & Tasche (Expected Shortfall)	James D. Hamilton
प्रकार	Coherent tail risk measure	Markov regime-switching time-series model
मौलिक स्रोत	Artzner, P., Delbaen, F., Eber, J.-M. & Heath, D. (1999). Coherent Measures of Risk. Mathematical Finance, 9(3), 203–228.	Hamilton, J. D. (1989). A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle. Econometrica, 57(2), 357-384.
उपनाम	expected shortfall, conditional value at risk, CVaR, spectral risk measure	Markov switching model, Hamilton regime-switching model, MS-AR, hidden Markov regime model
संबंधित	5	1
सारांश	Tail risk measures quantify the loss distribution beyond Value-at-Risk (VaR). Expected Shortfall — the expected loss given that VaR is exceeded — is the leading coherent risk measure, formalised by Artzner, Delbaen, Eber and Heath (1999) and shown to be coherent by Acerbi and Tasche (2002). Spectral and expectile-based measures generalise it.	The Markov regime-switching model, introduced by James D. Hamilton in 1989, is a hidden-state time-series model in which financial series such as returns or volatility behave with different parameters across distinct economic regimes (bull/bear or high/low volatility). It is the financial application of Hamilton's MS-AR model, where an unobserved Markov state governs which parameter set is active at each point in time.