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CATEGORIES:Statistics
SUMMARY:Matching Quantiles Estimation - Qiwei Yao\, London
School of Economics
DTSTART;TZID=Europe/London:20131025T160000
DTEND;TZID=Europe/London:20131025T170000
UID:TALK47607AThttp://talks.cam.ac.uk
URL:http://talks.cam.ac.uk/talk/index/47607
DESCRIPTION:Motivated by a backtesting problem for counterpart
y credit risk management\, we propose a new Matchi
ng Quantiles Estimation (MQE) method\, for selecti
ng representative portfolios. An iterative procedu
re based on the ordinary least squares estimation
is proposed to compute the MQE. The convergence of
the algorithm and the asymptotic properties of th
e estimation are established. A new measure and an
associated statistical test are proposed to asses
s the goodness-of-match. The finite sample propert
ies are illustrated numerically by both simulation
and a real data example on selecting a counterpar
ty representative portfolio. The proposed MQE also
finds applications in portfolio tracking\, which
demonstrates the potential usefulness of combing
the MQE with the LASSO.
LOCATION:MR12\, Centre for Mathematical Sciences\, Wilberf
orce Road\, Cambridge
CONTACT:
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