Extreme Atlantic Hurricane Probability of Occurrence Through the Metastatistical Extreme Value Distribution
نویسندگان
چکیده
منابع مشابه
Generalized Extreme Value Distribution and Extreme Economic Value at Risk (EE-VaR) October 2007 Generalized Extreme Value Distribution and Extreme Economic Value at Risk (EE-VaR)
Ait-Sahalia and Lo (2000) and Panigirtzoglou and Skiadopoulos (2004) have argued that Economic VaR (E-VaR), calculated under the option market implied risk neutral density is a more relevant measure of risk than historically based VaR. As industry practice requires VaR at high confidence level of 99%, we propose Extreme Economic Value at Risk (EE-VaR) as a new risk measure, based on the General...
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ژورنال
عنوان ژورنال: Geophysical Research Letters
سال: 2020
ISSN: 0094-8276,1944-8007
DOI: 10.1029/2019gl086138