Quantile estimation for the generalized pareto distribution with application to finance

  • J. Jocković

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.
Published
2016-10-11
How to Cite
JOCKOVIĆ, J.. Quantile estimation for the generalized pareto distribution with application to finance. Yugoslav Journal of Operations Research, [S.l.], v. 22, n. 2, oct. 2016. ISSN 2334-6043. Available at: <https://yujor.fon.bg.ac.rs/index.php/yujor/article/view/393>. Date accessed: 05 dec. 2024.
Citation Formats
Issue
Vol 22 No 2 (2012): Vol. 22 No. 2
Section
Articles
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