Title: Research on the Parameters Estimation and Application of Generalized Pareto Distribution: Based on Operational Risk Loss
Abstract: Extreme value theory(EVT) shows that the limiting distributions for the maximum of a very large collection of random observations which peak over threshold(POT) and from the same arbitrary distribution are distributed generalized Pareto distribution(GPD).The POT approach has been developed largely in financial risk measurement and actuarial insurance.But its application subjects to the parameters estimation.In this paper,after inferring the condition moments,the parameters estimation of GPD have been researched based on operational risk loss.With the operational risk loss data of Chinese commercial banks from 1994 to 2008,empirical research into economic capital allocation have been carried out.
Publication Year: 2010
Publication Date: 2010-01-01
Language: en
Type: article
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