Conditional value-at-risk: Aspects of modeling and estimation

Len Umantsev () and Victor Chernozhukov
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Len Umantsev: Department of Management Science and Engineering, Stanford University, Stanford, CA 94305-4026

Empirical Economics, 2001, vol. 26, issue 1, 292 pages

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.

Keywords: Value-at-Risk; ·; Quantiles; ·; Extreme; Value; Theory (search for similar items in EconPapers)
JEL-codes: C14 D81 G11 G28 (search for similar items in EconPapers)
Date: 2001-03-19
Note: Received: September 30, 1999/Revised version: November 20, 2000
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Citations: View citations in EconPapers (91)

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