So sánh phương pháp

	Các thước đo rủi ro đuôi (Expected Shortfall, Phổ, Kỳ vọng)	Mô hình GARCH (Dự báo Biến động)
Lĩnh vực	Tài chính	Kinh tế lượng
Họ	Regression model	Regression model
Năm ra đời	1999	1986
Người khởi xướng	Artzner, Delbaen, Eber & Heath (coherent risk axioms); Acerbi & Tasche (Expected Shortfall)	Tim Bollerslev
Loại	Coherent tail risk measure	Conditional volatility model
Công trình gốc	Artzner, P., Delbaen, F., Eber, J.-M. & Heath, D. (1999). Coherent Measures of Risk. Mathematical Finance, 9(3), 203–228.	Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307–327.
Tên gọi khác	expected shortfall, conditional value at risk, CVaR, spectral risk measure	GARCH, GARCH(1,1), conditional volatility model, GARCH Modeli (Oynaklık Tahmini)
Liên quan	5	5
Tóm tắt	Tail risk measures quantify the loss distribution beyond Value-at-Risk (VaR). Expected Shortfall — the expected loss given that VaR is exceeded — is the leading coherent risk measure, formalised by Artzner, Delbaen, Eber and Heath (1999) and shown to be coherent by Acerbi and Tasche (2002). Spectral and expectile-based measures generalise it.	The Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, introduced by Tim Bollerslev in 1986, models the time-varying conditional variance of a financial time series. It captures volatility clustering and the ARCH effect, and is the standard tool for estimating risk and volatility in return series.