Conditional value-at-risk
aspects of modeling and estimation
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Author
Contributions
- Umantsev, Len - Contributor
- Massachusetts Institute of Technology. Dept. of Economics - Contributor
Publication
2000 - Massachusetts Institute of Technology, Dept. of Economics, Cambridge, MA, Massachusetts
Language
English
Word Count
6,750 words, Guess
Page Count
27 pages
Identifiers
- Internet Archiveconditionalvalue00cher
- OCLC Control Number49829121
- Open LibraryOL24639651M
Description
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.
Subjects
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