Extremal quantities and value-at-risk
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Author
Contributions
- Du, Songzi - Contributor
- Massachusetts Institute of Technology. Dept. of Economics - Contributor
Publication
2006 - Massachusetts Institute of Technology, Dept. of Economics, Cambridge, MA, Massachusetts
Language
English
Word Count
4,250 words, Guess
Page Count
17 pages
Identifiers
- Internet Archiveextremalquantiti00cher
- OCLC Control Number166886602
- Open LibraryOL24641612M
Description
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. Keywords: Extremes, Quantiles, Regression, Value-at-risk, Extremal Bootstrap. JEL Classifications: C13, C14, C21, C41, C51, C53.
Subjects
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