The Resource Extremal quantities and value-at-risk, Victor Chernozhukov [and] Songzi Du., (electronic resource)

Extremal quantities and value-at-risk, Victor Chernozhukov [and] Songzi Du., (electronic resource)

Label
Extremal quantities and value-at-risk
Title
Extremal quantities and value-at-risk
Statement of responsibility
Victor Chernozhukov [and] Songzi Du.
Creator
Contributor
Provider
Language
eng
Summary
This article looks at the theory and empirics of extremal quantiles in economics, in particular value-at-risk. The theory of extremes has gone through remarkable developments and produced valuable empirical findings in the last 20 years. In the discussion, we put a particular focus on conditional extremal quantile models and methods, which have applications in many areas of economic analysis. Examples of applications include the analysis of factors of high risk in finance and risk management, the analysis of socio-economic factors that contribute to extremely low infant birthweights, efficiency analysis in industrial organization, the analysis of reservation rules in economic decisions, and inference in structural auction models. Keywords: Extremes, Quantiles, Regression, Value-at-risk, Extremal Bootstrap. JEL Classifications: C13, C14, C21, C41, C51, C53
Member of
Additional physical form
Abstract in HTML and working paper for download in PDF available via World Wide Web at the Social Science Research Network.
Cataloging source
MYG
http://library.link/vocab/creatorName
Chernozhukov, Victor
Illustrations
illustrations
Index
no index present
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
  • technical reports
http://library.link/vocab/relatedWorkOrContributorName
  • Du, Songzi
  • Massachusetts Institute of Technology
  • Internet Archive
Series statement
Working paper series / Massachusetts Institute of Technology, Dept. of Economics
Series volume
working paper 07-01
Label
Extremal quantities and value-at-risk, Victor Chernozhukov [and] Songzi Du., (electronic resource)
Instantiates
Publication
Note
"May 24, 2006."
Bibliography note
Includes bibliographical references (leaves 16-17)
Color
mixed
Dimensions
28 cm.
Dimensions
unknown
Extent
17 leaves
Other physical details
ill. (some col.)
Specific material designation
remote
System control number
  • (OCoLC)166886602
  • (CaSfIA)extremalquantiti00cher
  • (CaSfIA)001471258
Label
Extremal quantities and value-at-risk, Victor Chernozhukov [and] Songzi Du., (electronic resource)
Publication
Note
"May 24, 2006."
Bibliography note
Includes bibliographical references (leaves 16-17)
Color
mixed
Dimensions
28 cm.
Dimensions
unknown
Extent
17 leaves
Other physical details
ill. (some col.)
Specific material designation
remote
System control number
  • (OCoLC)166886602
  • (CaSfIA)extremalquantiti00cher
  • (CaSfIA)001471258

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