TY  - RPRT
AU  - Benito Muela, Sonia
AU  - López-Martín, Carmen
AU  - Navarro, Mª Ángeles
PY  - 2018
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/17437
AB  - The conditional extreme value theory has been proven to be one of the most successful in estimating market risk. The implementation of this method in the framework of the Peaks Over Threshold (POT) model requires one to choose a threshold for fitting...
LA  - eng
KW  - Extreme Value Theory
KW  - Peaks over Threshold
KW  - Value at Risk
KW  - Expected Shortfall
KW  - Generalized Pareto Distribution.
TI  - Assessing the importance of the choice threshold in quantifying market risk under the POT method (EVT)
TY  - technical report
VL  - 2018
ER  -