Abstract

References (29)

Beta

Citations (7)

Beta

One-Click Download | Share | Email | Add to Briefcase

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

Victor Chernozhukov
Massachusetts Institute of Technology (MIT) - Department of Economics

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.

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

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

Working Paper Series

Date posted: June 07, 2001 ; Last revised: November 26, 2003

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 doi:10.2139/ssrn.272488

Export to: Export Citation What's this?

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/
Len Umantsev Stanford University - Management Science & Engineering ( email ) 473 Via Ortega Stanford, CA 94305-9025 United States