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levelofemploymentandunemploymentofyoungpeople,usingdatafromthe
Eurostatdatabasefromtwoyearsselectedfortheresearch:2008yearincompar-
isonwith2018year.
Chapterwhichopenthesecondpartofthebookisthematicallyfocusedon
specialregressionmodeling.Authorusequantileregressionasmodelbydescrib-
ingmoregeneralpropertiesoftheresponsedistribution.Inquantileregression
weassumedregressioneffectsontheconditionalquantilefunctionofthere-
sponse.Inmodernregressionmodelinghasconcentratedonextendinglinear
regression,sowealsouseexpectileregression.Bothregressionmodelsaresome
versionofleastweightedsquaresmodel.Themostcommonlyusedfamiliesof
riskmeasuresinpracticearetheValue-at-Risk(VaR)andtheExpectedShortfall
(ES)knownasdownsideriskmeasures.Itcanbeestimatedbyquantilesor
expectilesinthetailoftheresponsedistributionandweextendthistoquantile
andexpectileregressionmodeling.
Theauthorsofthenextchaptermakeanassessmentofextremevaluetheory
(EVT)asmethodologywhichcanbeusedtoestimatetheprobabilityofveryrare
orextremeevents.Theaimofthisresearchistoanswerthequestion:isEVT
usefultoriskestimationduringunexpectedmarketbreakdowns.
InthenextpartAuthorusedatafromtheindustrialmetalsmarkettoanalyse
thequalityofsomemodelsandforecastingproceduresofExpectedShortfallfor
aloworderofquantilecorrespondingtotheextremerisk.Theperformanceof
thedifferentmodelsisassessedusingthreedifferentbacktestsofExpected
Shortfallrecentlyproposedintheliterature.
InthelastpartAuthorsdescribetherelationshipbetweentheexpectedrate
ofreturnforassetsandthesystematicrisk.Stock’ssystematicriskcouldbe
measuredbythebetacoefficient.Oneofthenonclassicalapproachesinthe
estimationofthesystematicriskisbasedontheapplicationofthequantilere-
gression.Thequantileregressionallowstocharacterizetheentiredistributionof
thestudyvariableanditismorerobusttooutliers.
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