List of Articles Generalized Pareto Distributio

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  1 - Investigating different methods of estimating tail risk measures with generalized Pareto distribution in Tehran stock exchange
  Eisa Mahmoudi Najme Dehqani Hojjatollah Sadeqi
  The study of the probability of the occurrence of the extreme events (the events which occur with low probability of occurrence) is an important issue in the risk management. Extreme value theory calculates risk measures using extreme events for a financial basket, rega More

  The study of the probability of the occurrence of the extreme events (the events which occur with low probability of occurrence) is an important issue in the risk management. Extreme value theory calculates risk measures using extreme events for a financial basket, regardless of the distribution function of the return of the financial assets. In this theory, the method of peaks over threshold is practically the most appropriate and applied method by the use of which separate modeling of the tail part of the dataset is possible by using the generalized Pareto distribution and the start of the appropriate threshold. For this reason, in this paper, the methods of maximum likelihood estimator, likelihood moment estimator, Zhang and the weighted nonlinear least squares under the POT framework have studied and compared to estimate the parameters of the generalized Pareto distribution in order to estimate the value at risk and the expected shortfall of indices of food other than sugar, banks, car, chemicals, pharmaceuticals, cement, agriculture, petroleum products, textiles, coal, financial , industrial, the price of 50 companies, free float and the second market of Tehran stock exchange from March 25, 2013 to May 18, 2016. The overall results show that the expected shortfall is a more coherent measure for risk calculation, and the nonlinear weighted least squares estimator under the POT framework provides better estimation for generalized Pareto distribution. Manuscript profile
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  2 - Comparing the Frechet Distribution and the Generalized Pareto Distribution in Estimating Value at Risk and Conditional Value at Risk in Tehran Stock Exchange
  Azadeh Meharani Ali Najafi moghadam Ali Baghani
  Selecting the most accurate method of risk measurement is the main challenge in risk estimation. This study aims to measure value at risk (VaR) and conditional value at risk (CoVar) in Tehran Stock Exchange (TSE) using the Frechet distribution (FD) and the generalized P More

  Selecting the most accurate method of risk measurement is the main challenge in risk estimation. This study aims to measure value at risk (VaR) and conditional value at risk (CoVar) in Tehran Stock Exchange (TSE) using the Frechet distribution (FD) and the generalized Pareto distribution (GPD). It used the data from 21 and 63-day time series of TEPIX, free-float, and the indices of the top 50 TSE companies between 2012-3-20 and 2020-3-19. It used COPIC post-test and Christoffersen’s conditional coverage test for models statistical confirmation. It applied Lopez and Blanco-Ihle’s second loss functions for model comparison. The CoVaR models were ranked by two loss functions, including Mean Absolute Error (MAE) and Root Mean Square Error (RMSE). Results indicated according to the statistics measured in Lopez’s second loss function, GPD performed better than FD in measuring VaR of TEPIX and the return index of the selected 50 companies, however, FD performed better for the free-float index. Blanco-Ihle’s loss function results contradicted the ones derived from Lopez’s second loss function. MAE and RMSE results indicated FD is better in estimating CoVaR.      Manuscript profile
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  3 - Application of Copula and Simulated Returns in the Portfolio Optimization with Conditional Value-at-Risk (CVaR) in Tehran Stock Exchange (TSE)
  Esmaeil Lalegani Mostafa Zehtabian
  Several studies have confirmed with using criteria appropriate to the structure and characteristics of the data, the performance of the models significantly improved. The Copula function is one of the models in determining the relationship between variables has attracte More

  Several studies have confirmed with using criteria appropriate to the structure and characteristics of the data, the performance of the models significantly improved. The Copula function is one of the models in determining the relationship between variables has attracted a lot of attention. In this study, we investigated the portfolio of TSE industry indexes optimized to minimize the Conditional Value at Risk, simulated data based on Copula function and generalized Pareto distribution as input. The statistical analyzes implies portfolio performance improves significantly. Since the Copula functions are diverse, Compare the impact of any one risk reduction is recommended.     Manuscript profile
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  4 - VAR and ES calculation based on the Extreme Value Theory (block maxima and GPD): Evidence from Tehran Stock Exchange (TSE)
  Mansour Kashi S. Hassan Hoseini mohammad Mousa Ghaliliou saeed Golkarian Arani
     Current study, has explores the VAR and ES in the Tehran Stock Exchange (TSE) by using the Extreme Value Theory (block maxima and GPD). Earlier estimates of the preliminary findings of the analysis that uses statistics, Empirical Distribution Function, Mean More

     Current study, has explores the VAR and ES in the Tehran Stock Exchange (TSE) by using the Extreme Value Theory (block maxima and GPD). Earlier estimates of the preliminary findings of the analysis that uses statistics, Empirical Distribution Function, Mean Excess Function and QQ plot, Pareto and heavy-tailed behavior were found data. To estimate the optimal threshold value, we have Mean Excess Function and hill plot applied. To estimate the optimal threshold value, Mean Excess Function and Hill plot use the statistics mentioned for the positive and negative returns, the threshold value for GPD models are about ./75  And ./60  have provided. Comparing the estimated residual value model classic extreme (monthly, quarterly, six month and one year) and the GPD, concluded the optimal performance GPD calculated on the value of extreme block which is highly sensitive to the choice of the period. Finally, to estimate VAR and ES, we GPD model demonstrated that a better performance was applied. The results showed that VAR and ES should not be the dominant financial risk management. In other words, dependence on individual risk scale for ignoring the problem will create portfolio risk information. So to contain the missing information by VAR and ES, it is essential that the various aspects of the distribution of losses / profits look like heavy-tailed. Manuscript profile