Please use this identifier to cite or link to this item: https://research.matf.bg.ac.rs/handle/123456789/2717
Title: Quantile estimation for the generalized pareto distribution with application to finance
Authors: Jocković, Jelena 
Keywords: Excesses over high thresholds;Generalized Pareto distributions;Quantiles of the distribution;Value at risk
Issue Date: 1-Jan-2012
Rank: M23
Publisher: Beograd : Fakultet organizacionih nauka
Journal: Yugoslav Journal of Operations Research
Abstract: 
Generalized Pareto distributions (GPD) are widely used for modeling excesses over high thresholds (within the framework of the POT-approach to modeling extremes). The aim of the paper is to give the review of the classical techniques for estimating GPD quantiles, and to apply these methods in finance - to estimate the Valueat- Risk (VaR) parameter, and discuss certain difficulties related to this subject.
URI: https://research.matf.bg.ac.rs/handle/123456789/2717
ISSN: 03540243
DOI: 10.2298/YJOR110308013J
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