Penalized quantile regression for ΔCoVaR

• Main Author: Zhu, Jianfei
• Other Authors: PUN Chi Seng
• Format: Final Year Project
• Language: English
• Published: 2019
• Subjects: Science::Mathematics::Statistics
• Online Access: http://hdl.handle.net/10356/79019
• Institution: 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...