أحمد زكريا محمد عفيفى
أستاذ مساعد
The Burr X Pareto distribution: properties, applications and VaR estimation.
Journal of Risk and Financial Management • 2018
معلومات البحث
المؤلفون
Korkmaz, M. C., Altun, E., Yousof, H. M., Afify, A. Z. and Nadarajah, S.
الكلمات المفتاحية
Not Available
المجلة العلمية
Journal of Risk and Financial Management
الناشر
Not Available
المجلد
11
العدد
Not Available
الصفحات
1-6
publication.type
International
رابط البحث
Open Link
المواد المرفقة
Not Available
الملخص
In this paper, a new three-parameter Pareto distribution is introduced and studied. We discuss various mathematical and statistical properties of the new model. Some estimation methods of the model parameters are performed. Moreover, the peaks-over-threshold method is used to estimate Value-at-Risk (VaR) by means of the proposed distribution. We compare the distribution with a few other models to show its versatility in modelling data with heavy tails. VaR estimation with the Burr X Pareto distribution is presented using time series data, and the new model could be considered as an alternative VaR model against the generalized Pareto model for financial institutions.
