Порівняння методів
Переглядайте обрані методи поруч; рядки з відмінностями підсвічено.
| Умовний показник ризику (Expected Shortfall)× | Value at Risk (VaR)× | |
|---|---|---|
| Галузь | Фінанси | Фінанси |
| Родина | Regression model | Regression model |
| Рік появи≠ | 2000 | 2007 |
| Автор методу≠ | Rockafellar & Uryasev (2000); Acerbi & Tasche (2002) | Jorion (textbook benchmark); popularised by RiskMetrics / J.P. Morgan |
| Тип≠ | Coherent tail-risk measure | Financial risk measure |
| Основоположне джерело≠ | Rockafellar, R. T. & Uryasev, S. (2000). Optimization of Conditional Value-at-Risk. Journal of Risk, 2(3), 21-41. DOI ↗ | Jorion, P. (2007). Value at Risk: The New Benchmark for Managing Financial Risk (3rd ed.). McGraw-Hill. ISBN: 978-0071464956 |
| Інші назви | CVaR, expected shortfall, average value-at-risk, tail VaR | VaR, value-at-risk, delta-normal VaR, historical simulation VaR |
| Пов'язані | 5 | 5 |
| 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. | 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. |
| ScholarGateНабір даних ↗ |
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