Tail Risk in the Tail: Estimating High Quantiles When a Related Variable is Extreme
尾部中的尾部风险：相关变量极端时的高分位数估计
In this article we address the problem of high quantile estimation conditional on a related variable being extreme. The problem set-up is of interest in a number applications to evaluate tail risk of a focal variable in the tail of a conditioning variable. A primary example we consider is the assessment of systemic risk in financial markets using a risk measure known as the conditional value-at-risk (CoVaR). The proposed estimator is based on a novel approach to handle the…