Assessing the importance of the choice threshold in quantifying market risk under the POT approach (EVT)

From a theoretical point of view, the selection thresholds is critical issue in framework Peaks Over Threshold (POT) approach, which why last decade numerous methodologies have been proposed for its selection. In this paper, we address subject from an empirical view by assessing to what extent threshold decisive quantifying market risk. For measuring risk, use Value at Risk (VaR) and Expected Shortfall (ES) measures. The results obtained indicate that there large set provide similar Generalized Pareto Distribution (GPD) quantiles estimators as consequence risk Just only, thresholds, those corresponding 98th 99th percentile GPD some differences are found. It means choice POT method may not be relevant when VaR ES measures task.