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Original scientific paper

THRESHOLD PARAMETER OF THE EXPECTED LOSSES

Josip Arnerić   ORCID icon orcid.org/0000-0002-2901-2609 ; Department of Statistics, Faculty of Economics, Univetsity of Zagreb, Zagreb, Croatia
Ivana Lolić   ORCID icon orcid.org/0000-0003-3112-7699 ; Department of Statistics, Faculty of Economics, Univetsity of Zagreb, Zagreb, Croatia
Juran Galetić ; Faculty of Economics, Univetsity of Zagreb, Zagreb, Croatia

Fulltext: english, pdf (151 KB) pages 270-279 downloads: 1.505* cite
APA 6th Edition
Arnerić, J., Lolić, I. & Galetić, J. (2012). THRESHOLD PARAMETER OF THE EXPECTED LOSSES. Croatian Operational Research Review, 3 (1), 270-279. Retrieved from https://hrcak.srce.hr/96890
MLA 8th Edition
Arnerić, Josip, et al. "THRESHOLD PARAMETER OF THE EXPECTED LOSSES." Croatian Operational Research Review, vol. 3, no. 1, 2012, pp. 270-279. https://hrcak.srce.hr/96890. Accessed 23 Aug. 2019.
Chicago 17th Edition
Arnerić, Josip, Ivana Lolić and Juran Galetić. "THRESHOLD PARAMETER OF THE EXPECTED LOSSES." Croatian Operational Research Review 3, no. 1 (2012): 270-279. https://hrcak.srce.hr/96890
Harvard
Arnerić, J., Lolić, I., and Galetić, J. (2012). 'THRESHOLD PARAMETER OF THE EXPECTED LOSSES', Croatian Operational Research Review, 3(1), pp. 270-279. Available at: https://hrcak.srce.hr/96890 (Accessed 23 August 2019)
Vancouver
Arnerić J, Lolić I, Galetić J. THRESHOLD PARAMETER OF THE EXPECTED LOSSES. Croatian Operational Research Review [Internet]. 2012 [cited 2019 August 23];3(1):270-279. Available from: https://hrcak.srce.hr/96890
IEEE
J. Arnerić, I. Lolić and J. Galetić, "THRESHOLD PARAMETER OF THE EXPECTED LOSSES", Croatian Operational Research Review, vol.3, no. 1, pp. 270-279, 2012. [Online]. Available: https://hrcak.srce.hr/96890. [Accessed: 23 August 2019]

Abstracts
The objective of extreme value analysis is to quantify the probabilistic behavior of unusually large losses using only extreme values above some high threshold rather than using all of the data which gives better fit to tail distribution in comparison to traditional methods with assumption of normality. In our case we estimate market risk using daily returns of the CROBEX index at the Zagreb Stock Exchange. Therefore, it’s necessary to define the excess distribution above some threshold, i.e. Generalized Pareto Distribution (GPD) is used as much more reliable than the normal distribution due to the fact that gives the accent on the extreme values.
Parameters of GPD distribution will be estimated using maximum likelihood method (MLE). The contribution of this paper is to specify threshold which is large enough so that GPD approximation valid but low enough so that a sufficient number of observations are available for a precise fit.

Keywords
threshold parameter; value at risk; expected shortfall; generalized pareto distribution

Hrčak ID: 96890

URI
https://hrcak.srce.hr/96890

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