Quantile estimation for the generalized pareto distribution with application to finance
DOI:
https://doi.org/10.2298/YJOR110308013JKeywords:
generalized Pareto distributions, excesses over high thresholds, quantiles of the distribution, Value at RiskAbstract
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.References
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