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Hard · Statistics & Regression · Quant Trader interview question · quantile-regression, tail-risk, var, ols, regression
A risk manager is tasked with modeling Value at Risk (VaR) for a portfolio. They have historical data on portfolio returns and various macroeconomic factors. Why might the risk manager prefer quantile regression over Ordinary Least Squares (OLS) regression when modeling tail risk (e.g., estimating the 5% VaR)?