Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/238849 
Year of Publication: 
2018
Citation: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 11 [Issue:] 1 [Publisher:] MDPI [Place:] Basel [Year:] 2018 [Pages:] 1-16
Publisher: 
MDPI, Basel
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.
Subjects: 
Burr X distribution
Pareto distribution
maximum likelihood estimation
heavy tail distribution
value-at-risk
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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