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

By Mustafa Ç. Korkmaz, Emrah Altun, Haitham M. Yousof, Ahmed Z. Afify, Saralees Nadarajah. 2017

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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.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/c1e614b061722541ea6b9b34402ba735a8758239