A new Bayesian method for estimation of value at risk and conditional value at risk
Jacinto Martín,
M. Isabel Parra,
Mario M. Pizarro
et al.
Abstract:Value at Risk (VaR) and Conditional Value at Risk (CVaR) have become the most popular measures of market risk in Financial and Insurance fields. However, the estimation of both risk measures is challenging, because it requires the knowledge of the tail of the distribution. Therefore, Extreme Value Theory initially seemed to be one of the best tools for this kind of problems, because using peaks-over-threshold method, we can assume the tail data approximately follow a Generalized Pareto distribution (GPD). The … Show more
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