Conditional value-at-risk
6 min read
Rate this book:
About This Book
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.
Buy This Book
As an Amazon Associate and Bookshop.org affiliate, BookOrb earns from qualifying purchases.
Write a Review
Sign in to write a review.
More by Victor Chernozhukov
Admissible invariant similar tests for instrumental variables regression
An IV model of quantile treatment effects
An MCMC approach to classical estimation
Conditional extremes and near-extremes
Estimation and confidence regions for parameter sets in econometric models
Extremal quantities and value-at-risk