Estimating extreme tail risk measures with generalized Pareto distribution-Reference-Cited by-同舟云学术

Estimating extreme tail risk measures with generalized Pareto distribution

Published:2016-06 Issue: Volume:98 Page:91-104
ISSN:0167-9473
Container-title:Computational Statistics & Data Analysis
language:en
Short-container-title:Computational Statistics & Data Analysis

Author:

Park Myung Hyun^ORCID,Kim Joseph H.T.

Funder

National Research Foundation of Korea

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Theory and Mathematics,Computational Mathematics,Statistics and Probability

Reference32 articles.

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4. Residual life time at great age;Balkema;Ann. Probab.,1974

5. BCBS 2006. International convergence of capital measurement and capital standards: A revised framework, Comprehensive version. Basel Committee on Banking Supervision.

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