Quantile estimation for the generalized pareto distribution with application to finance
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 fi...
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| Format: | Article |
| Language: | English |
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University of Belgrade
2012-01-01
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| Series: | Yugoslav Journal of Operations Research |
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| Online Access: | http://www.doiserbia.nb.rs/img/doi/0354-0243/2012/0354-02431200013J.pdf |
| _version_ | 1811265291597905920 |
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| author | Jocković Jelena |
| author_facet | Jocković Jelena |
| author_sort | Jocković Jelena |
| collection | DOAJ |
| description | 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.[Acknowledgments. This work is supported by the Ministry of Education and Science of the Republic of Serbia, Grant nos. 174012 and TR34007] |
| first_indexed | 2024-04-12T20:19:56Z |
| format | Article |
| id | doaj.art-ff2efc431c7d4a45b79f54cd6fc10a01 |
| institution | Directory Open Access Journal |
| issn | 0354-0243 1820-743X |
| language | English |
| last_indexed | 2024-04-12T20:19:56Z |
| publishDate | 2012-01-01 |
| publisher | University of Belgrade |
| record_format | Article |
| series | Yugoslav Journal of Operations Research |
| spelling | doaj.art-ff2efc431c7d4a45b79f54cd6fc10a012022-12-22T03:18:01ZengUniversity of BelgradeYugoslav Journal of Operations Research0354-02431820-743X2012-01-0122229731110.2298/YJOR110308013JQuantile estimation for the generalized pareto distribution with application to financeJocković JelenaGeneralized 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.[Acknowledgments. This work is supported by the Ministry of Education and Science of the Republic of Serbia, Grant nos. 174012 and TR34007]http://www.doiserbia.nb.rs/img/doi/0354-0243/2012/0354-02431200013J.pdfgeneralized Pareto distributionsexcesses over high thresholdsquantiles of the distributionValue at Risk |
| spellingShingle | Jocković Jelena Quantile estimation for the generalized pareto distribution with application to finance Yugoslav Journal of Operations Research generalized Pareto distributions excesses over high thresholds quantiles of the distribution Value at Risk |
| title | Quantile estimation for the generalized pareto distribution with application to finance |
| title_full | Quantile estimation for the generalized pareto distribution with application to finance |
| title_fullStr | Quantile estimation for the generalized pareto distribution with application to finance |
| title_full_unstemmed | Quantile estimation for the generalized pareto distribution with application to finance |
| title_short | Quantile estimation for the generalized pareto distribution with application to finance |
| title_sort | quantile estimation for the generalized pareto distribution with application to finance |
| topic | generalized Pareto distributions excesses over high thresholds quantiles of the distribution Value at Risk |
| url | http://www.doiserbia.nb.rs/img/doi/0354-0243/2012/0354-02431200013J.pdf |
| work_keys_str_mv | AT jockovicjelena quantileestimationforthegeneralizedparetodistributionwithapplicationtofinance |