Conditional value-at-risk

Conditional value-at-risk

by Victor Chernozhukov

Part of Working paper series / Massachusetts Institute of Technology, Dept. of Economics -- working paper 01-19

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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. Keywords: Conditional Quantiles, Quantile Regression, Extreme Quantiles, Extreme Value Theory, Extreme Risk. JEL Classifications: C14, C13, C21, C51, C53, G12, G19.

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