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GitHub / guilhermessc / VaR-threshold-and-confidence-interval

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.

JSON API: https://repos.ecosyste.ms/api/v1/hosts/GitHub/repositories/guilhermessc%2FVaR-threshold-and-confidence-interval

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Forks: 0
Open Issues: 0

License: mit
Language: Jupyter Notebook
Repo Size: 2.55 MB
Dependencies: 0

Created: almost 2 years ago
Updated: almost 2 years ago
Last pushed: almost 2 years ago
Last synced: about 1 year ago

Topics: equity, equity-markets, equity-research, extreme-value-theory, finance, financial-risk, financial-risk-analytics, generalized-pareto-distribution, quantitative-risk-analysis, stock, stock-market, value-at-risk

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