Tid: 14 januari 2008 kl 15.15-16.00

Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!

Föredragshållare: Natalie Larsén

Titel: Quantile estimation with the POT method. (Examensarbete)

Sammanfattning: We consider the peaks-over-threshold (POT) method in extreme value theory, with focus on Value-at-Risk (VaR) estimation. The underlying theory models the excesses over a threshold with a generalised Pareto distribution. The required threshold choice has an impact on how the tail distribution is approximated and thus on the resulting VaR estimates as well.

In the simulation study performed we compare two different threshold selection methods; Anderson-Darling goodness-of-fit test and the fixed order statistics approach. The goal is to review the performance of the POT-based VaR estimator combined with these threshold selection methods. Data is generated from known distributions and the obtained POT-based VaRs are compared to the true known quantiles.

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