Year: 2015
Type: preprint
Abstract: This brief paper summarize the chances offered by the Peak-Over-Threshold method, related with analysis of extremes. Identification of appropriate Value at Risk can be solved by fitting data with a Generalized Pareto Distribution. Also an estimation of value for the Expected Shortfall can be useful, and the application of these few concepts are valid for the most wide range of risk analysis, from the financial application to the operational risk assessment, through the analysis for climate time series; resolving the problem of borderline data.
Source: arXiv (Cornell University)
Author: Rosso, Gianluca
Language: English
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2255293758