Kernel estimation for quantile sensitivities

Quantiles, also known as value-at-risk in financial applications, are important measures of random performance. Quantile sensitivities provide information on how changes in the input parameters affect the output quantiles. In this paper, we study the estimation of quantile sensitivities using simulation. We propose a new estimator by employing kernel method and show its consistency and asymptotic normality for i.i.d. data. Numerical results show that our estimator works well for the test problems.

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