Intensity‐based estimation of extreme loss event probability and value at risk (Q5414534): Difference between revisions

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Revision as of 11:27, 8 July 2024

scientific article; zbMATH DE number 6292463
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English
Intensity‐based estimation of extreme loss event probability and value at risk
scientific article; zbMATH DE number 6292463

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    Intensity‐based estimation of extreme loss event probability and value at risk (English)
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    6 May 2014
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    heavy tails
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    clustering of extremes
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    value at risk
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    self-exciting point processes
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    autoregressive conditional duration
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    generalized Pareto distribution
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