Estimating extreme tail risk measures with generalized Pareto distribution (Q1659253)
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scientific article; zbMATH DE number 6918415
| Language | Label | Description | Also known as |
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| English | Estimating extreme tail risk measures with generalized Pareto distribution |
scientific article; zbMATH DE number 6918415 |
Statements
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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0.8190352916717529
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0.806624174118042
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0.8018432259559631
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0.7978872060775757
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0.7978654503822327
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