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Empirical Economics
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Empirical Economics
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Conditional Value-at-Risk: Aspects of Modeling and Estimation

Authors: Len Umantsev; Victor Chernozhukov;

Conditional Value-at-Risk: Aspects of Modeling and Estimation

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.

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Keywords

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

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    popularity
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    influence
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
141
Top 1%
Top 1%
Top 10%
hybrid