The Variances of VaR for the Poisson-Gumbel Compound Extreme Value Distribution and for the Poisson-Generalized Pareto Compound Peaks over Threshold Distribution

Abstract

In this paper we compared the variances of Value at Risk (VaR) of loss distribution models: one based on the Poisson-Gumbel compound extreme value distribution and another based on the Poisson-Generalized Pareto (GP) compound peaks over threshold distribution. The data used in this study are records of exchange rates between US Dollars and British Pounds… (More)

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