Conditional value-at-risk: Aspects of modeling and estimation |
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| Authors: | Victor Chernozhukov Len Umantsev |
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| Institution: | (1) Department of Economics, MIT, Cambridge, MA 02139 (e-mail: vchern@leland.stanford.edu), XX;(2) Department of Management Science and Engineering, Stanford University, Stanford, CA 94305-4026 (e-mail: uman@stanford.edu), XX |
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| Abstract: | 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.
Received: September 30, 1999/Revised version: November 20, 2000 |
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| Keywords: | : Value-at-Risk Quantiles Extreme Value Theory |
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