Penalized quantile regression for ΔCoVaR

• المؤلف الرئيسي: Zhu, Jianfei
• مؤلفون آخرون: PUN Chi Seng
• التنسيق: Final Year Project
• اللغة: English
• منشور في: 2019
• الموضوعات: Science::Mathematics::Statistics
• الوصول للمادة أونلاين: http://hdl.handle.net/10356/79019
• المؤسسة: Nanyang Technological University

We proposed applying penalized quantile regression for computing ΔCoVaR, which is the change of value at risk (VaR) of the financial system conditional on an institution being under distress compared to median state. Three types of penalized quantile regression: LASSO, adaptive-LASSO and SCAD have...