Conditional value-at-risk
Subtitle: aspects of modeling and estimation
By: Victor Chernozhukov [and] Len Umantsev
Contributors: Umantsev, Len; Massachusetts Institute of Technology. Dept. of Economics
Series: Working paper series / Massachusetts Institute of Technology, Dept. of Economics -- working paper 01-19; Working paper (Massachusetts Institute of Technology. Dept. of Economics) -- no. 01-19.
Publisher: Massachusetts Institute of Technology, Dept. of Economics
Published: 2000
Place of publication: Cambridge, MA
Language: eng
Number of pages: 27
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.
Notes: Title from cover.

"November 2000."; "Received: September 30, 1999, Revised version: November 20, 2000"--Abstract.

Includes bibliographical references (p. 26-27).

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