Thibitisho la Thamani ya Hatari (Matarajio ya Upungufu)
Thibitisho la Thamani ya Hatari (CVaR), pia huitwa Matarajio ya Upungufu, ni kipimo cha hatari ya mkia chenye nguvu ambacho kinatoa kiwango cha matarajio ya hasara zaidi ya kizingiti cha Thamani ya Hatari. Ilianzishwa kwa ajili ya uboreshaji na Rockafellar na Uryasev (2000) na kuonyeshwa kuwa na nguvu na Acerbi na Tasche (2002), na imechukua nafasi ya VaR kama kiwango cha udhibiti chini ya Basel III/IV.
Soma mbinu kamili
Ingia kwa akaunti ya bure ili kusoma sehemu hii.
Method map
The neighbourhood of related methods — select a node to explore.
Vyanzo
- Rockafellar, R. T. & Uryasev, S. (2000). Optimization of Conditional Value-at-Risk. Journal of Risk, 2(3), 21-41. DOI: 10.21314/JOR.2000.038 ↗
- Acerbi, C. & Tasche, D. (2002). On the Coherence of Expected Shortfall. Journal of Banking & Finance, 26(7), 1487-1503. DOI: 10.1016/S0378-4266(02)00283-2 ↗
Jinsi ya kunukuu ukurasa huu
ScholarGate. (2026, June 1). Conditional Value-at-Risk (Expected Shortfall). ScholarGate. https://scholargate.app/sw/finance/conditional-value-at-risk
Which method?
Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
- Mfumo wa ARIMA (Autoregressive Integrated Moving Average)Ekonometriki↔ compare
- Exponential GARCH (EGARCH)Ekonometriki↔ compare
- Regression ya Kiasi (Quantile Regression)Ekonometriki↔ compare
- Nadharia ya Hisa Zinazotambulika na Muundo wa HARFedha↔ compare
- Thamani Hatari (VaR)Fedha↔ compare
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