DPOT Methodology: An Application to Value-at-Risk

DOI10.1007/978-3-642-32419-2_9zbMath1407.62383OpenAlexW2239886966MaRDI QIDQ4644975

P. Araújo Santos, M. Isabel Fraga Alves

Publication date: 9 January 2019

Published in: Recent Developments in Modeling and Applications in Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-32419-2_9

zbMATH Keywords

value-at-riskthreshold methodspeaks over threshold (POT)

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Exact distribution theory in statistics (62E15)

Uses Software

• R
• CAViaR

Cites Work

• Estimating tails of probability distributions
• Residual life time at great age
• Statistical inference using extreme order statistics
• A new class of independence tests for interval forecasts evaluation
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