| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w7341 |
| 来源ID | Working Paper 7341 |
| CAViaR: Conditional Value at Risk by Quantile Regression | |
| Robert F. Engle; Simone Manganelli | |
| 发表日期 | 1999-09-01 |
| 出版年 | 1999 |
| 语种 | 英语 |
| 摘要 | Value at Risk has become the standard measure of market risk employed by financial institutions for both internal and regulatory purposes. Despite its conceptual simplicity, its measurement is a very challenging statistical problem and none of the methodologies developed so far give satisfactory solutions. Interpreting Value at Risk as a quantile of future portfolio values conditional on current information, we propose a new approach to quantile estimation which does not require any of the extreme assumptions invoked by existing methodologies (such as normality or i.i.d. returns). The Conditional Value at Risk or CAViaR model moves the focus of attention from the distribution of returns directly to the behavior of the quantile. We postulate a variety of dynamic processes for updating the quantile and use regression quantile estimation to determine the parameters of the updating process. Tests of model adequacy utilize the criterion that each period the probability of exceeding the VaR must be independent of all the past information. We use a differential evolutionary genetic algorithm to optimize an objective function which is non-differentiable and hence cannot be optimized using traditional algorithms. Applications to simulated and real data provide empirical support to our methodology and illustrate the ability of these algorithms to adapt to new risk environments. |
| 主题 | Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/w7341 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/564879 |
| 推荐引用方式 GB/T 7714 | Robert F. Engle,Simone Manganelli. CAViaR: Conditional Value at Risk by Quantile Regression. 1999. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w7341.pdf（423KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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