Sammenlign metoder

	Conditional Value-at-Risk	Kvantilregresjon	Realisert volatilitet og HAR-modellen
Fagfelt	Finans	Økonometri	Finans
Familie	Regression model	Regression model	Regression model
Opprinnelsesår	2000	1978	2009
Opphavsperson	Rockafellar & Uryasev (2000); Acerbi & Tasche (2002)	Koenker & Bassett	Corsi (HAR model); Andersen, Bollerslev, Diebold & Labys (realized volatility)
Type	Coherent tail-risk measure	Conditional quantile regression	Time-series regression of realized variance
Opprinnelig kilde	Rockafellar, R. T. & Uryasev, S. (2000). Optimization of Conditional Value-at-Risk. Journal of Risk, 2(3), 21-41.	Koenker, R. & Bassett, G., Jr. (1978). Regression Quantiles. Econometrica, 46(1), 33-50.	Corsi, F. (2009). A Simple Approximate Long-Memory Model of Realized Volatility. Journal of Financial Econometrics, 7(2), 174-196.
Alias	CVaR, expected shortfall, average value-at-risk, tail VaR	conditional quantile regression, regression quantiles, Kantil Regresyon	realized variance, HAR model, heterogeneous autoregressive model of realized volatility, HAR-RV
Relaterte	5	5	5
Sammendrag	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.	Quantile regression models conditional quantiles of an outcome - the median, the 25th or 75th percentile, and so on - rather than the conditional mean that OLS targets. Introduced by Koenker and Bassett in 1978, it reveals how predictors act across the whole distribution, including its tails.	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.