Single-Index-Based CoVaR With Very High-Dimensional Covariates
超高维协变量下基于单指标模型的 CoVaR
Systemic risk analysis reveals the interdependencies of risk factors especially in tail event situations. In applications the focus of interest is on capturing joint tail behavior rather than a variation around the mean. Quantile and expectile regression are used here as tools of data analysis. When it comes to characterizing tail event curves one faces a dimensionality problem, which is important for CoVaR (Conditional Value at Risk) determination. A projection-based…