Zastosowanie estymatora k-to-rekordowego do szacowania wartości narażonej na ryzyko
Value-at-Risk estimation using ‘k-th record’ estimator

Summary/Abstract: In many areas of risk management applications, Value-at-Risk (VaR) is one of the commonly used risk measures. Its interpretative advantages decide that the measure is popular, and, moreover, recommended by supervisory institutions. However, difficulties with its effective estimation are the major VaR’s disadvantages. A certain modification of VaR estimation procedure using the peak over threshold model based on the generalised Pareto distribution is introduced in the paper and afterwards verified by simulation research and properly chosen empirical data analysis as well. Consequently, one may state that the introduced method enables better tail asymptotic detection, as a result of what one obtains more adequate VaR estimates.

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