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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 |
| Appears in Collections: | Research outputs |
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