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Conditional Value-at-Risk: Aspects of Modeling and EstimationVictor ChernozhukovMassachusetts Institute of Technology (MIT) - Department of Economics; New Economic School Len UmantsevStanford University - Management Science & Engineering November 2000 MIT Dept. of Economics Working Paper No. 01-19 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.
Number of Pages in PDF File: 28 Keywords: Conditional Quantiles, Quantile Regression, Extreme Quantiles, Extreme Value Theory, Extreme Risk JEL Classification: C14, C13, C21, C51, C53, G12, G19 working papers seriesDate posted: June 7, 2001Suggested CitationContact Information
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