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guilhermessc / VaR-threshold-and-confidence-interval

This project studies the effects of the shape parameter estimator uncertainty at different threshold levels on the value-at-risk confidence interval for quantitative risk management (QRM) using the Generalized Pareto Distribution (GPD) from the Extreme Value Theory (EVT) approach.

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equityequity-marketsequity-researchextreme-value-theoryfinancefinancial-riskfinancial-risk-analyticsgeneralized-pareto-distributionquantitative-risk-analysisstockstock-marketvalue-at-risk

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This project studies the effects of the shape parameter estimator uncertainty at different threshold levels on the value-at-risk confidence interval for quantitative risk management (QRM) using the Generalized Pareto Distribution (GPD) from the Extreme Value Theory (EVT) approach.

equityequity-marketsequity-researchextreme-value-theoryfinancefinancial-riskfinancial-risk-analyticsgeneralized-pareto-distributionquantitative-risk-analysisstockstock-marketvalue-at-risk

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