应用门限分位点回归模型估计条件VaR

Evaluation of conditional VaR based on threshold quantile regression model

在文献中,分位点回归模型是线性的,但是在实际中,这个假设不能很好地满足需要.为此提出了分位点回归的门限模型,用该模型实证分析了单只股票(浦东发展银行)的条件 VaR.选择了一种流动性风险指标作为条件,因此该条件 VaR 也可以看作是流动性调整的 VaR(La-VaR).经过实证分析发现,由门限分位点模型得到的结果能够更好地描述实际市场情况,也能更好地预测市场风险.

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.