elements of CoVaR estimation are two levels of quantile regression: one on market risk factors; another on individual risk … factor. Tests on the functional form of the two-level quantile regression reject the linearity. A flexible semiparametric …

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 …

elements of CoVaR estimation are two levels of quantile regression: one on market risk factors; another on individual risk … factor. Tests on the functional form of the two-level quantile regression reject the linearity. A flexible semiparametric … ; Value-at-Risk ; quantile regression ; locally linear quantile regression ; partial linear model ; semiparametric model …