Showing papers by "Victor Chernozhukov published in 2000"

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 very high and intermediate conditional risk. An empirical application illustrates.

Conditional extremes and near-extremes

Abstract: This paper develops a theory of high and low (extremal) quantile regression: the linear models, estimation, and inference. In particular, the models coherently combine the convenient, flexible linearity with the extreme-value-theoretic restrictions on tails and the general heteroscedasticity forms. Within these models, the limit laws for extremal quantile regression statistics are obtained under the rank conditions (experiments) constructed to reflect the extremal or rare nature of tail events. An inference framework is discussed. The results apply to cross-section (and possibly dependent) data. The applications, ranging from the analysis of babies' very low birth weights, (S,s) models, tail analysis in heteroscedastic regression models, outlier-robust inference in auction models, and decision-making under extreme uncertainty, provide the motivation and applications of this theory.