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Paper / 2022SMQ / 75191721359164
Common Idiosyncratic Quantile Factors and Asset Prices
Jozef Barunik / Matej Nevrla
asset pricing / factor investingResource overview

Common Idiosyncratic Quantile Factors and Asset Prices

Paper2022

by Jozef Barunik, Matej Nevrla

Tags
asset pricingfactor investingtail risk

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Understand this paper

Suggested foundations for asset pricing and factor research and risk measurement and stress. Specialist prerequisites vary by paper.

Before you read

  1. Linear Regression

    Interpret exposures, residuals and uncertainty in fitted coefficients.

  2. Financial Return Characteristics

    Work with returns and recognise their empirical limitations.

  3. Random Variables and Distributions

    Represent losses as a distribution rather than one forecast.

  4. Expected Shortfall and Other Tail Risk Measures

    Distinguish a loss quantile from the average loss in the tail.

Go further

  1. Factor construction

    Connect factor definitions to portfolio construction.

  2. Time-series and cross-sectional tests

    Distinguish exposure estimation from tests of expected returns.

  3. VaR Estimation in Practice: Variance-Covariance, Historical Simulation, Monte Carlo

    Compare risk estimators and their assumptions.

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Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Empirical Asset Pricing and Factor Investing Explore Quantitative Risk Management

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