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| 条件在险价值（预期缺口）× | 分位数回归× | |
|---|---|---|
| 领域≠ | 金融学 | 计量经济学 |
| 方法族 | Regression model | Regression model |
| 起源年份≠ | 2000 | 1978 |
| 提出者≠ | Rockafellar & Uryasev (2000); Acerbi & Tasche (2002) | Koenker & Bassett |
| 类型≠ | Coherent tail-risk measure | Conditional quantile regression |
| 开创性文献≠ | Rockafellar, R. T. & Uryasev, S. (2000). Optimization of Conditional Value-at-Risk. Journal of Risk, 2(3), 21-41. DOI ↗ | Koenker, R. & Bassett, G., Jr. (1978). Regression Quantiles. Econometrica, 46(1), 33-50. DOI ↗ |
| 别名≠ | CVaR, expected shortfall, average value-at-risk, tail VaR | conditional quantile regression, regression quantiles, Kantil Regresyon |
| 相关 | 5 | 5 |
| 摘要≠ | 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. | 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. |
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