
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.
Value-at-Risk · Quantiles · Extreme Value Theory, jel: jel:D81, jel: jel:G28, jel: jel:C14, jel: jel:G11
Value-at-Risk · Quantiles · Extreme Value Theory, jel: jel:D81, jel: jel:G28, jel: jel:C14, jel: jel:G11
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