Quantile estimation for the generalized pareto distribution with application to finance

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]