เปรียบเทียบวิธี

	ทฤษฎีค่าสุดขีด (Extreme Value Theory: EVT)	แบบจำลอง ARIMA (Autoregressive Integrated Moving Average)	Conditional Value-at-Risk (Expected Shortfall)
สาขาวิชา	การเงิน	เศรษฐมิติ	การเงิน
ตระกูล	Regression model	Regression model	Regression model
ปีกำเนิด	2001	2015	2000
ผู้ริเริ่ม	Coles (textbook treatment); McNeil, Frey & Embrechts	Box & Jenkins (Box-Jenkins methodology)	Rockafellar & Uryasev (2000); Acerbi & Tasche (2002)
ประเภท	Tail / extreme-event model	Univariate time-series model	Coherent tail-risk measure
แหล่งต้นตำรับ	Coles, S. (2001). An Introduction to Statistical Modeling of Extreme Values. Springer. ISBN: 978-1852334598	Box, G. E. P., Jenkins, G. M., Reinsel, G. C. & Ljung, G. M. (2015). Time Series Analysis: Forecasting and Control (5th ed.). Wiley. ISBN: 978-1118675021	Rockafellar, R. T. & Uryasev, S. (2000). Optimization of Conditional Value-at-Risk. Journal of Risk, 2(3), 21-41.
ชื่อเรียกอื่น	EVT, generalized extreme value, generalized Pareto distribution, peaks over threshold	Box-Jenkins model, ARIMA(p,d,q), ARIMA Modeli	CVaR, expected shortfall, average value-at-risk, tail VaR
ที่เกี่ยวข้อง	5	5	5
สรุป	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.	ARIMA is a univariate time-series forecasting model that combines autoregressive, integrated (differencing), and moving-average components to predict a single continuous series from its own past. It is the centrepiece of the Box-Jenkins methodology set out in Box, Jenkins, Reinsel & Ljung's Time Series Analysis (5th ed., 2015).	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.