方法对比

	VaR（风险价值）	条件在险价值（预期缺口）
领域	金融学	金融学
方法族	Regression model	Regression model
起源年份	2007	2000
提出者	Jorion (textbook benchmark); popularised by RiskMetrics / J.P. Morgan	Rockafellar & Uryasev (2000); Acerbi & Tasche (2002)
类型	Financial risk measure	Coherent tail-risk measure
开创性文献	Jorion, P. (2007). Value at Risk: The New Benchmark for Managing Financial Risk (3rd ed.). McGraw-Hill. ISBN: 978-0071464956	Rockafellar, R. T. & Uryasev, S. (2000). Optimization of Conditional Value-at-Risk. Journal of Risk, 2(3), 21-41.
别名	VaR, value-at-risk, delta-normal VaR, historical simulation VaR	CVaR, expected shortfall, average value-at-risk, tail VaR
相关	5	5
摘要	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.	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.