We examine the information content of quarterly earnings announcements in the syndicated bank loan market, a hybrid public/private debt market that is exclusively comprised of informed institutional participants. In contrast to the literature on equity price reactions to earnings announcements,...

In this paper we study risk management based on the quantile regression. Unlike the traditional VaR estimation methods, the quantile regression approach allows for a general treatment on the error distribution and is robust to distributions with heavy tails. We estimate the VaRs of five...

This note discusses some issues related to bandwidth selection based on moment expansions of the mean squared error (MSE) of the regression quantile estimator. We use higher order expansions to provide a way to distinguish among asymptotically equivalent nonparametric estimators. We derive...

In this paper we study risk management based on the quantile regression. Unlike the traditional VaR estimation methods, the quantile regression approach allows for a general treatment on the error distribution and is robust to distributions with heavy tails. We estimate the VaRs of five...

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...