Порівняння методів
Переглядайте обрані методи поруч; рядки з відмінностями підсвічено.
| Умовний показник ризику (Expected Shortfall)× | Експоненційне GARCH (EGARCH)× | |
|---|---|---|
| Галузь≠ | Фінанси | Економетрика |
| Родина | Regression model | Regression model |
| Рік появи≠ | 2000 | 1991 |
| Автор методу≠ | Rockafellar & Uryasev (2000); Acerbi & Tasche (2002) | Nelson |
| Тип≠ | Coherent tail-risk measure | Conditional volatility model (asymmetric GARCH variant) |
| Основоположне джерело≠ | Rockafellar, R. T. & Uryasev, S. (2000). Optimization of Conditional Value-at-Risk. Journal of Risk, 2(3), 21-41. DOI ↗ | Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347-370. DOI ↗ |
| Інші назви≠ | CVaR, expected shortfall, average value-at-risk, tail VaR | exponential GARCH, Nelson's EGARCH, asymmetric GARCH, EGARCH — Üstel GARCH |
| Пов'язані≠ | 5 | 4 |
| Підсумок≠ | 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. | EGARCH is an asymmetric GARCH variant, introduced by Nelson in 1991, that models the leverage effect in which bad news raises volatility more than good news of the same size. It captures the negative-shock asymmetry of financial return series by modelling the logarithm of the conditional variance. |
| ScholarGateНабір даних ↗ |
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