Estimating extreme tail risk measures with generalized Pareto distribution (Q1659253)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimating extreme tail risk measures with generalized Pareto distribution |
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Estimating extreme tail risk measures with generalized Pareto distribution (English)
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15 August 2018
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generalized Pareto distribution
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value-at-risk (VaR)
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conditional tail expectation (CTE)
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tail VaR
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peaks over threshold (POT)
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weighted nonlinear least squares
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