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

  • Victor Chernozhukov
  • Len Umantsev
Chapter
Part of the Studies in Empirical Economics book series (STUDEMP)

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.

Key words

Value-at-Risk Quantiles Extreme Value Theory 
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Copyright information

© Springer-Verlag Berlin Heidelberg 2002

Authors and Affiliations

  • Victor Chernozhukov
    • 1
  • Len Umantsev
    • 2
  1. 1.Department of EconomicsMITCambridgeUSA
  2. 2.Department of Management Science and EngineeringStanford UniversityStanfordUSA

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