Abstract

http://ssrn.com/abstract=272488
 
 

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


Victor Chernozhukov


Massachusetts Institute of Technology (MIT) - Department of Economics; New Economic School

Len Umantsev


Stanford 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

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Date posted: June 7, 2001  

Suggested Citation

Chernozhukov, Victor and Umantsev, Len, Conditional Value-at-Risk: Aspects of Modeling and Estimation (November 2000). MIT Dept. of Economics Working Paper No. 01-19. Available at SSRN: http://ssrn.com/abstract=272488 or http://dx.doi.org/10.2139/ssrn.272488

Contact Information

Victor Chernozhukov (Contact Author)
Massachusetts Institute of Technology (MIT) - Department of Economics ( email )
50 Memorial Drive
Room E52-262f
Cambridge, MA 02142
United States
617-253-4767 (Phone)
617-253-1330 (Fax)
HOME PAGE: http://www.mit.edu/~vchern/
New Economic School
47 Nakhimovsky Prospekt
Moscow, 117418
Russia
Len Umantsev
Stanford University - Management Science & Engineering ( email )
473 Via Ortega
Stanford, CA 94305-9025
United States
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