Extremal quantities and value-at-risk
By: Victor Chernozhukov [and] Songzi Du
Contributors: Du, Songzi; Massachusetts Institute of Technology. Dept. of Economics
Series: Working paper series / Massachusetts Institute of Technology, Dept. of Economics -- working paper 07-01; Working paper (Massachusetts Institute of Technology. Dept. of Economics) -- no. 07-01.
Publisher: Massachusetts Institute of Technology, Dept. of Economics
Published: 2006
Place of publication: Cambridge, MA
Language: eng
Number of pages: 17
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.
Notes: "May 24, 2006."

Includes bibliographical references (leaves 16-17).

Abstract in HTML and working paper for download in PDF available via World Wide Web at the Social Science Research Network.