|
|
|
|
||||
|
||||
Extremal Quantiles and Value-at-RiskVictor ChernozhukovMassachusetts Institute of Technology (MIT) - Department of Economics; New Economic School Songzi DuMassachusetts 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 working papers seriesDate posted: January 12, 2007Suggested CitationContact Information
|
|
||||||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo6 in 0.437 seconds
