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Quantile Estimation for the Generalized Pareto Distribution With Application to Finance
Yugoslav journal of operations research, Tome 22 (2012) no. 2, p. 297 Cet article a éte moissonné depuis la source eLibrary of Mathematical Institute of the Serbian Academy of Sciences and Arts

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Generalized Pareto distributions (GPD) are widely used for modeling excesses over high thresholds (within the framework of the POT-approach to modeling extremes). The aim of the paper is to give the review of the classical techniques for estimating GPD quantiles, and to apply these methods in finance - to estimate the Value- at-Risk (VaR) parameter, and discuss certain difficulties related to this subject.
Classification : 62P20
Keywords: Generalized Pareto distributions, excesses over high thresholds, quantiles of the distribution, value at risk. 
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     author = {Jelena Jockovi\'c},
     title = {Quantile {Estimation} for the {Generalized} {Pareto} {Distribution} {With} {Application} to {Finance}},
     journal = {Yugoslav journal of operations research},
     pages = {297 },
     year = {2012},
     volume = {22},
     number = {2},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/YJOR_2012_22_2_a8/}
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Jelena Jocković. Quantile Estimation for the Generalized Pareto Distribution With Application to Finance. Yugoslav journal of operations research, Tome 22 (2012) no. 2, p. 297 . http://geodesic.mathdoc.fr/item/YJOR_2012_22_2_a8/