Peaks over thresholds modelling with multivariate generalized Pareto distributions
The multivariate generalized Pareto distribution arises as the limit of a normal-
ized vector conditioned upon at least one component of that vector being extreme.
Statistical modelling using multivariate generalized Pareto distributions constitutes
the multivariate analogue of univariate peaks over thresholds modelling. We exhibit
a construction device which allows us to develop a variety of new and existing para-
metric tail dependence models. A censored likelihood procedure is proposed to make
inference on these models, together with a threshold selection procedure and several
goodness-of-fit diagnostics. The models are fitted to returns of four UK-based banks
and to rainfall data in the context of landslide risk estimation.
financial risk measurment