QRM 5-2: The problem of estimating the tail скачать в хорошем качестве

QRM 5-2: The problem of estimating the tail

Welcome to Quantitative Risk Management (QRM). Let us finish our discussion about the graphical tools we can use to study tails. We briefly discuss the Moment Ratio Plot and the Zenga Plot. After that we address the problem of estimating the tail parameter, using MLE and other approaches. The Hill estimator and the Hill plot are presented as instruments for dealing with tails in the MDA of a Fréchet. More about the MR and the Zenga plots: https://arxiv.org/abs/1306.0100 Topics: 00:00 Moment Ratio Plot 03:40 Zenga plot 05:09 Estimation of GEV and GPD 06:58 MLE for GEV 09:10 Estimation under the MDA of a Frechét 10:30 The Hill estimator and the Hill plot 16:38 Tails, VaR and ES