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generalized-pareto-distribution

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VaR-threshold-and-confidence-interval

guilhermessc / VaR-threshold-and-confidence-interval

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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.

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
  • Updated Aug 30, 2022
  • Jupyter Notebook

OGCJN / Tail-estimation-for-window-censored-processes

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This paper develops methods to estimate the tail and full distribution of the lengths of the 0-intervals in a continuous time stationary ergodic stochastic process which takes the values 0 and 1 in alternating intervals. The methods are applied to the 100-car study, a big naturalistic driving experiment.

extreme study driving traffic value safety theory generalized-pareto-distribution length-biased-distribution off-road-glance tail-estimation traffic-safety 100-car-naturalistic-driving-study naturalistic
  • Updated Aug 21, 2018
  • Mathematica

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