This paper studies the performance of nonparametric quantile regression as a tool to predict Value at Risk (VaR). The ….1%) quantiles, where particularly few data points are available, we propose to combine nonparametric quantile regression with … specifications of the Conditionally Autoregressive VaR (CAViaR) models. -- Value at Risk ; nonparametric quantile regression ; risk …

based quantile regression in order to determine an active set of portfolio elements with negative non-zero coefficients …

Quantile regression is an increasingly important empirical tool in economics and other sciences for analyzing the … impact of a set of regressors on the conditional distribution of an outcome. Extremal quantile regression, or quantile … regression applied to the tails, is of interest in many economic and financial applications, such as conditional value …

throughout the thesis is that they adapt quantile regression techniques to the context of financial risk management in a novel … way. Firstly, to predict extreme market risk, nonparametric quantile regression is combined with extreme value theory. The …, model selection techniques for high-dimensional quantile regression are employed. The realized systemic risk beta …