Affiliation:
1. Faculty of Pharmacy, Belgrade, Serbia
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 Value-at-Risk (VaR) parameter, and discuss certain
difficulties related to this subject.
Publisher
National Library of Serbia
Subject
Management Science and Operations Research
Cited by
15 articles.
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