Petter E. de Lange
Petter E. de Lange is associate professor at the Department of International Business, NTNU. He is former chief economist at Sparebank1 SMN and former investment manager at DnB Life Insurance.
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In this paper the authors propose a semi-parametric, parsimonious value-at-risk forecasting model based on quantile regression and readily available market prices of option contracts from the over-the-counter foreign exchange interbank market.