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.
finance
stock
stock-market
equity
quantitative-risk-analysis
value-at-risk
equity-markets
generalized-pareto-distribution
equity-research
financial-risk-analytics
financial-risk
extreme-value-theory
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Updated
Aug 30, 2022 - Jupyter Notebook