Abstract

http://ssrn.com/abstract=956433
 
 

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Extremal Quantiles and Value-at-Risk


Victor Chernozhukov


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

Songzi Du


Massachusetts Institute of Technology (MIT) - Department of Economics

May 24, 2006

MIT Department of Economics Working Paper No. 07-01

Abstract:     
This article looks at the theory and empirics of extremal quantiles in economics, in particular value-at-risk. The theory of extremes has gone through remarkable developments and produced valuable empirical findings in the last 20 years. In the discussion, we put a particular focus on conditional extremal quantile models and methods, which have applications in many areas of economic analysis. Examples of applications include the analysis of factors of high risk in finance and risk management, the analysis of socio-economic factors that contribute to extremely low infant birthweights, efficiency analysis in industrial organization, the analysis of reservation rules in economic decisions, and inference in structural auction models.

Number of Pages in PDF File: 19

Keywords: Extremes, Quantiles, Regression, Value-at-risk, Extremal Bootstrap

JEL Classification: C13, C14, C21, C41, C51, C53

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Date posted: January 12, 2007  

Suggested Citation

Chernozhukov, Victor and Du, Songzi, Extremal Quantiles and Value-at-Risk (May 24, 2006). MIT Department of Economics Working Paper No. 07-01. Available at SSRN: http://ssrn.com/abstract=956433 or http://dx.doi.org/10.2139/ssrn.956433

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
Songzi Du
Massachusetts Institute of Technology (MIT) - Department of Economics ( email )
50 Memorial Drive
E52-391
Cambridge, MA 02142
United States
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