So sánh phương pháp

	Các thước đo rủi ro đuôi (Expected Shortfall, Phổ, Kỳ vọng)	Hồi quy Quantile
Lĩnh vực	Tài chính	Kinh tế lượng
Họ	Regression model	Regression model
Năm ra đời	1999	1978
Người khởi xướng	Artzner, Delbaen, Eber & Heath (coherent risk axioms); Acerbi & Tasche (Expected Shortfall)	Koenker & Bassett
Loại	Coherent tail risk measure	Conditional quantile regression
Công trình gốc	Artzner, P., Delbaen, F., Eber, J.-M. & Heath, D. (1999). Coherent Measures of Risk. Mathematical Finance, 9(3), 203–228.	Koenker, R. & Bassett, G., Jr. (1978). Regression Quantiles. Econometrica, 46(1), 33-50.
Tên gọi khác	expected shortfall, conditional value at risk, CVaR, spectral risk measure	conditional quantile regression, regression quantiles, Kantil Regresyon
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.	Quantile regression models conditional quantiles of an outcome - the median, the 25th or 75th percentile, and so on - rather than the conditional mean that OLS targets. Introduced by Koenker and Bassett in 1978, it reveals how predictors act across the whole distribution, including its tails.