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Matching Quantiles Estimation

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Motivated by a backtesting problem for counterparty credit risk management, we propose a new Matching Quantiles Estimation (MQE) method, for selecting representative portfolios. An iterative procedure based on the ordinary least squares estimation is proposed to compute the MQE . The convergence of the algorithm and the asymptotic properties of the estimation are established. A new measure and an associated statistical test are proposed to assess the goodness-of-match. The finite sample properties are illustrated numerically by both simulation and a real data example on selecting a counterparty representative portfolio. The proposed MQE also finds applications in portfolio tracking, which demonstrates the potential usefulness of combing the MQE with the LASSO .

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