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Quantile estimation for the generalized pareto distribution with application to finance

Jocković Jelena (Faculty of Pharmacy, Belgrade, Serbia)

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.

Keywords: generalized Pareto distributions, excesses over high thresholds, quantiles of the distribution, Value at Risk

Acknowledgments. This work is supported by the Ministry of Education and Science of the Republic of Serbia, Grant nos. 174012 and TR34007