เปรียบเทียบวิธี

	Conditional Value-at-Risk (Expected Shortfall)	มูลค่าความเสี่ยง
สาขาวิชา	การเงิน	การเงิน
ตระกูล	Regression model	Regression model
ปีกำเนิด	2000	2007
ผู้ริเริ่ม	Rockafellar & Uryasev (2000); Acerbi & Tasche (2002)	Jorion (textbook benchmark); popularised by RiskMetrics / J.P. Morgan
ประเภท	Coherent tail-risk measure	Financial risk measure
แหล่งต้นตำรับ	Rockafellar, R. T. & Uryasev, S. (2000). Optimization of Conditional Value-at-Risk. Journal of Risk, 2(3), 21-41.	Jorion, P. (2007). Value at Risk: The New Benchmark for Managing Financial Risk (3rd ed.). McGraw-Hill. ISBN: 978-0071464956
ชื่อเรียกอื่น	CVaR, expected shortfall, average value-at-risk, tail VaR	VaR, value-at-risk, delta-normal VaR, historical simulation VaR
ที่เกี่ยวข้อง	5	5
สรุป	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.	Value at Risk is a financial risk measure that estimates the maximum loss a position or portfolio could suffer over a fixed holding period at a given confidence level. It is the standard benchmark in risk management and regulatory capital calculations, developed in the textbook tradition of Jorion (2007) and the Basel market-risk framework.