英文标题：
《Measurement of Common Risk Factors: A Panel Quantile Regression Model
  for Returns》
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作者：
Frantisek Cech, and Jozef Barunik
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最新提交年份：
2017
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英文摘要：
  This paper investigates how to measure common market risk factors using newly proposed Panel Quantile Regression Model for Returns. By exploring the fact that volatility crosses all quantiles of the return distribution and using penalized fixed effects estimator we are able to control for otherwise unobserved heterogeneity among financial assets. Direct benefits of the proposed approach are revealed in the portfolio Value-at-Risk forecasting application, where our modeling strategy performs significantly better than several benchmark models according to both statistical and economic comparison. In particular Panel Quantile Regression Model for Returns consistently outperforms all the competitors in the 5\\% and 10\\% quantiles. Sound statistical performance translates directly into economic gains which is demonstrated in the Global Minimum Value-at-Risk Portfolio and Markowitz-like comparison. Overall results of our research are important for correct identification of the sources of systemic risk, and are particularly attractive for high dimensional applications.
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中文摘要：
本文研究了如何使用新提出的面板分位数回归模型来衡量常见的市场风险因素。通过探索波动率跨越收益分布的所有分位数这一事实，并使用惩罚固定效应估计量，我们能够控制金融资产之间未观察到的异质性。该方法的直接好处体现在投资组合风险价值预测应用程序中，根据统计和经济比较，我们的建模策略的性能明显优于几个基准模型。尤其是面板分位数回归模型，其收益率在5%和10%分位数上始终优于所有竞争对手。良好的统计业绩直接转化为经济收益，这在全球最低风险价值投资组合和类似马科维茨的比较中得到了证明。我们研究的总体结果对于正确识别系统性风险源非常重要，对于高维应用尤其有吸引力。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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