Conditional value-at-risk: Aspects of modeling and estimation

被引：59

作者：

Chernozhukov V. ^{[1
]}

Umantsev L. ^{[2
]}

机构：

[1] Department of Economics, MIT, Cambridge

[2] Department of Management Sci./Eng., Stanford University, Stanford

来源：

Empirical Economics | 2001年 / 26卷 / 1期

关键词：

Extreme value theory; Quantiles; Value-at-risk;

D O I：

10.1007/s001810000062

中图分类号：

学科分类号：

摘要：

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 the extremal and intermediate conditional risk. An empirical application characterizes the key economic determinants of various levels of conditional risk.

引用

页码：271 / 292

页数：21

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