Evaluation of conditional VaR based on threshold quantile regression model
Miao Bai-qi · Journal of systems engineering · 2008
In most articles,quantile regression model is linear,but in practice,this assumption can not suit the practical demand very well.So in this paper,a new threshold quantile regression model is presented,and an empirical analysis on Pudong Devlopment Bank stock based on this model is given.In this paper,a liquidity risk measure is picked as the condition variable,so the conditional VaR is also a liquidity-adjusted VaR.By the empirical analysis,the result obtained based on threshold quantile regression model can describe the practical market better,and forecast the market risk better.