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Conditional Value at Risk: Aspects of Modeling and Estimation
Company: Empirical Economics
Company Url: Click here to open
Year Of Publication: 2001
Month Of Publication: March
Pages: 271-292
Download Count: 1072
View Count: 6669
Comment Num: 0
Language: EN
Source: article
Who Can Read: Free
Date: 9-1-2002
Publisher: Administrator
Summary
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.
This document is published in Empirical Economics (volume 26, number 1)
http://dx.doi.org/10.1007/s001810000062
Author(s)
Chernozhukov, Victor Sign in to follow this author
Umantsev, Len Sign in to follow this author
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