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SUMMARY:Matching Quantiles Estimation - Qiwei Yao\, London School of Econo
 mics
DTSTART:20131025T150000Z
DTEND:20131025T160000Z
UID:TALK47607@talks.cam.ac.uk
CONTACT:20082
DESCRIPTION:Motivated by a backtesting problem for counterparty credit ris
 k management\, we propose a new Matching Quantiles Estimation (MQE) method
 \, for selecting representative portfolios. An iterative procedure based o
 n the ordinary least squares estimation is proposed to compute the MQE. Th
 e convergence of the algorithm and the asymptotic properties of the estima
 tion are established. A new measure and an associated statistical test are
  proposed to assess the goodness-of-match. The finite sample properties ar
 e illustrated numerically by both simulation and a real data example on se
 lecting a counterparty representative portfolio. The proposed MQE also fin
 ds applications in portfolio tracking\, which demonstrates the potential u
 sefulness of combing  the MQE with the LASSO.
LOCATION:MR12\,  Centre for Mathematical Sciences\, Wilberforce Road\, Cam
 bridge
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