Assessing the importance of the choice threshold in quantifying market risk under the POT approach (EVT)
Sonia Benito, Carmen López-Martín, Mª Ángeles Navarro
| Year of publication: |
2023
|
|---|---|
| Authors: | Benito, Sonia ; López-Martín, Carmen ; Navarro, Mª Ángeles |
| Subject: | Expected shortfall | Extreme value theory | Generalized Pareto distribution | Peaks over threshold | Value at risk | Risikomaß | Risk measure | Theorie | Theory | Ausreißer | Outliers | Statistische Verteilung | Statistical distribution |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1057/s41283-022-00106-w [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013490818