00000nam 2200000za 4500 9.817271 CaOODSP 20221107142436 cr ||||||||||| 160510s2016 oncd ob f000 0 eng d CaOODSP eng eng fre n-cn--- FB3-5/2016-22E-PDF Van Oordt, Maarten R. C. Estimating systematic risk under extremely adverse market conditions [electronic resource] / by Maarten R.C. van Oordt and Chen Zhou. [Ottawa] : Bank of Canada, 2016. iii, 41 p. Staff Working Paper, 1701-9397 ; 2016-22 "May 2016." Includes bibliographical references (p. 34-37). This paper considers the problem of estimating a linear model between two heavy-tailed variables if the explanatory variable has an extremely low (or high) value. We propose an estimator for the model coefficient by exploiting the tail dependence between the two variables and prove its asymptotic properties. Simulations show that our estimation method yields a lower mean squared error than regressions conditional on tail observations. In an empirical application we illustrate the better performance of our approach relative to the conditional regression approach in projecting the losses of industry-specific stock portfolios in the event of a market crash. gccst Markets gccst Financial crisis gccst Statistical analysis Zhou, Chen. Bank of Canada. Staff working paper (Bank of Canada) 1701-9397 ; 2016-22 (CaOODSP)9.806221 PDF 496 KB https://publications.gc.ca/collections/collection_2016/banque-bank-canada/FB3-5-2016-22-eng.pdf