Intensity‐based estimation of extreme loss event probability and value at risk (Q5414534): Difference between revisions
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Latest revision as of 16:56, 30 December 2024
scientific article; zbMATH DE number 6292463
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Intensity‐based estimation of extreme loss event probability and value at risk |
scientific article; zbMATH DE number 6292463 |
Statements
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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