Guo, Hongtao; Wu, Guojun; Xiao, Zhijie - In: Journal of Risk Finance 8 (2007) March, pp. 166-185
Purpose – The purpose of this article is to estimate value at risk (VaR) using quantile regression and provide a risk analysis for defaultable bond portfolios. Design/methodology/approach – The method proposed is based on quantile regression pioneered by Koenker and Bassett. The quantile...
