Intensity‐based estimation of extreme loss event probability and value at risk (Q5414534)
From MaRDI portal
scientific article; zbMATH DE number 6292463
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Intensity‐based estimation of extreme loss event probability and value at risk |
scientific article; zbMATH DE number 6292463 |
Statements
Intensity‐based estimation of extreme loss event probability and value at risk (English)
0 references
6 May 2014
0 references
heavy tails
0 references
clustering of extremes
0 references
value at risk
0 references
self-exciting point processes
0 references
autoregressive conditional duration
0 references
generalized Pareto distribution
0 references
0 references
0 references
0 references
