%0 Journal Article
%T Quantile estimation for the generalized pareto distribution with application to finance
%A Jockovi£¿ Jelena
%J Yugoslav Journal of Operations Research
%D 2012
%I University of Belgrade
%R 10.2298/yjor110308013j
%X 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.[Acknowledgments. This work is supported by the Ministry of Education and Science of the Republic of Serbia, Grant nos. 174012 and TR34007]
%K generalized Pareto distributions
%K excesses over high thresholds
%K quantiles of the distribution
%K Value at Risk
%U http://www.doiserbia.nb.rs/img/doi/0354-0243/2012/0354-02431200013J.pdf