The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Extremal Quantiles and Value-at-Risk

  • Victor Chernozhukov
  • Songzi Du
Reference work entry
DOI: https://doi.org/10.1057/978-1-349-95189-5_2431

Abstract

This article examines the theory and empirics of extremal quantiles in economics, in particular value-at-risk. The theory of extremes has gone through remarkable developments and produced valuable empirical findings since the late 1980s. We emphasize conditional extremal quantile models and methods, which have applications in many areas of economic analysis. Examples of applications include the analysis of factors of high risk in finance and risk management, the analysis of socio-economic factors that contribute to extremely low infant birthweights, efficiency analysis in industrial organization, the analysis of reservation rules in economic decisions, and inference in structural auction models.

Keywords

Bootstrap Extremal conditional quantiles Extremal quantiles Gamma variables Inference Maximum likelihood Production frontiers Quantile regression function Value-at-risk 

JEL Classifications

D62 
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Notes

Acknowledgment

We thank Emily Gallagher, Greg Fischer and Raymond Guiteras for their help and valuable comments.

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Copyright information

© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • Victor Chernozhukov
    • 1
  • Songzi Du
    • 1
  1. 1.