# Scaling Conditional Tail Probability and Quantile Estimators

@article{Cotter2009ScalingCT, title={Scaling Conditional Tail Probability and Quantile Estimators}, author={John Cotter}, journal={Risk Management eJournal}, year={2009} }

We present a novel procedure for scaling relatively high frequency tail probability and quantile estimates for the conditional distribution of returns.

## 2 Citations

### Filtered Historical Simulation Value-at-Risk Models and Their Competitors

- Economics
- 2015

Financial institutions have for many years sought measures which cogently summarise the diverse market risks in portfolios of financial instruments. This quest led institutions to develop…

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