Len Umantsev

Stanford University - Department of Management Science & Engineering

473 Via Ortega

Stanford, CA 94305-9025

United States

  • Stanford University - Department of Management Science & Engineering

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

Number of pages: 28 Posted: 07 Jun 2001
Victor Chernozhukov and Len Umantsev
Massachusetts Institute of Technology (MIT) - Department of Economics and Stanford University - Department of Management Science & Engineering
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Conditional Quantiles, Quantile Regression, Extreme Quantiles, Extreme Value Theory, Extreme Risk