Estimating Risk with Peaks-over-threshold Method

Vladimir Belitsky

This short course is based on the manuscript "A thorough yet simple exposition of the Peaks-over-threshold method and its employment for risk estimation" (by Vladimir Belitsky and Francisco Martins Moreira) that is an introduction to the statistical procedure called Peaks-over-threshold method that has become very popular for estimating probability of rare events in diverse areas, and in particular, in economic and financial problems concerned with risk forecast. The presentation level will be adequate for graduate students from a Mathematical, Physical or Economic faculty, or similar. For more details, please access: http://www.ime.usp.br/~belitsky/docs/course-contents.pdf