Sgouropoulos, Nikolaos; Yao, Qiwei; Yastremiz, Claudia - London School of Economics (LSE) - 2014
Motivated by the problem of selecting representative portfolios for backtesting counterparty credit risks, we propose a matching quantiles estimation (MQE) method for matching a target distribution by that of a linear combination of a set of random variables. An iterative procedure based on the...