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

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

JOURNAL OF RISK AND FINANCIAL MANAGEMENT, vol.11, no.1, 2018 (ESCI) identifier


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.