Conditional Value-at-Risk: Aspects of Modeling and Estimation

Abstract:     
This paper considers flexible conditional (regression) measures of market risk. Value-at-Risk modeling is cast in terms of the quantile regression function - the inverse of the conditional distribution function. A basic specification analysis relates its functional forms to the benchmark models of returns and asset pricing. We stress important aspects of measuring very high and intermediate conditional risk. An empirical application illustrates.

Keywords: Conditional Quantiles, Quantile Regression, Extreme Quantiles, Extreme Value Theory, Extreme Risk

JEL Classifications: C14, C13, C21, C51, C53, G12, G19

Working Paper Series