Extreme tail risk estimation with the generalized Pareto distribution under the peaks-over-threshold framework (Q5085614)
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scientific article; zbMATH DE number 7549064
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Extreme tail risk estimation with the generalized Pareto distribution under the peaks-over-threshold framework |
scientific article; zbMATH DE number 7549064 |
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Extreme tail risk estimation with the generalized Pareto distribution under the peaks-over-threshold framework (English)
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27 June 2022
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threshold
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value at risk (VaR)
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expectiles
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peaks-over-threshold
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extreme values
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