Value-at-Risk Estimation and the Port Mean-of-Order-P Methodology
In finance, insurance and statistical quality control, among many other areas of appli[1]cation, a typical requirement is to estimate the value-at-risk (VaR) at a small level q, i.e. a high quantile of probability 1 −q, a value, high enough, so that the chance of an exceedance of that value is equa...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Instituto Nacional de Estatística | Statistics Portugal
2017-04-01
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| Series: | Revstat Statistical Journal |
| Subjects: | |
| Online Access: | https://revstat.ine.pt/index.php/REVSTAT/article/view/210 |