Conditional value-at-risk: Aspects of modeling and estimation
Conditional value-at-risk: Aspects of modeling and estimation
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DOI：
10.2139/ssrn.272488
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发表时间：
2000-11
影响因子：
3.2
通讯作者：
V. Chernozhukov;Len Umantsev
中科院分区：
文献类型：
--
作者：
V. Chernozhukov;Len Umantsev
抽象的。本文考虑灵活的条件（回归）措施的市场风险。风险价值建模是根据分位数回归函数-条件分布函数的逆函数进行的。一个基本的规范分析将其函数形式与收益和资产定价的基准模型联系起来。我们强调测量极值和中间条件风险的重要方面。一个实证应用的特点，各种水平的条件风险的关键经济决定因素。
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.