Predicting extreme value at risk: nonparametric quantile regression with refinements from extreme value theory

DOI10.1016/j.csda.2012.03.016zbMath1254.91279MaRDI QIDQ1927187

Julia Schaumburg

Publication date: 30 December 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2012.03.016

zbMATH Keywords

risk management; monotonization; value at risk; nonparametric quantile regression; extreme value statistical applications

Mathematics Subject Classification ID

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Uses Software

• CAViaR
• QRM

Cites Work

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• Regression Quantiles
• REGRESSION QUANTILES FOR TIME SERIES