Ahmed Z. Afify
Asst. Professor
The Burr X Pareto distribution: properties, applications and VaR estimation.
Journal of Risk and Financial Management • 2018
Publication Information
Authors
Korkmaz, M. C., Altun, E., Yousof, H. M., Afify, A. Z. and Nadarajah, S.
Keywords
Not Available
Journal
Journal of Risk and Financial Management
Publisher
Not Available
Volume
11
Issue
Not Available
Pages
1-6
publication.type
International
Paper Link
Open Link
Supplementary Materials
Not Available
Abstract
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.
