The Burr X Pareto Distribution: Properties, Applications and VaR Estimation


KORKMAZ M. Ç. , ALTUN E. , Yousof H. M. , Afify A. Z. , Nadarajah S.

JOURNAL OF RISK AND FINANCIAL MANAGEMENT, cilt.11, 2018 (ESCI İndekslerine Giren Dergi) identifier

  • Cilt numarası: 11 Konu: 1
  • Basım Tarihi: 2018
  • Doi Numarası: 10.3390/jrfm11010001
  • Dergi Adı: JOURNAL OF RISK AND FINANCIAL MANAGEMENT

Özet

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.