Value-at-Risk (VaR) has become the universally accepted metric in the financial services industry for internal control … risk. One promising technique is Quantile Regression which holds the promise of efficiently calculating (VAR). To this end …, Engle and Manganelli in (2004) developed their CAViaR model (Conditional Autoregressive Value at Risk). In this paper we …

Using quantile regression, this article examines default risk of emerging and speculative companies in Australia and … risk over different economic circumstances. Quantile Regression splits the data into parts or quantiles, thus allowing … default risk to be examined at different risk levels. This is especially useful in measuring extreme risk quantiles, when …