DPOT methodology: an application to value-at-risk

DOI10.1007/978-3-642-32419-2_9zbMATH Open1407.62383OpenAlexW2239886966MaRDI QIDQ4644975FDOQ4644975

Authors: M. Isabel Fraga Alves, P. Araújo Santos 

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

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zbMATH Keywords

value-at-riskthreshold methodspeaks over threshold (POT)

Mathematics Subject Classification ID

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

Cites Work

• Statistical inference using extreme order statistics
• Title not available (Why is that?)
• Title not available (Why is that?)
• Residual life time at great age
• Estimating tails of probability distributions
• Analysis of financial time series
• A new class of independence tests for interval forecasts evaluation

Cited In (3)

• Forecasting value-at-risk with a duration-based POT method
• Application of extreme value theory in predicting funds based on the POT method
• Estimating value-at-risk: a point process approach

Uses Software

• R
• CAViaR

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