Advances in Risk Management

15

6

0,25

0,2

0,15

0,1

0,05

0

10 14 18 22 26 30

# of exceedances

BL1

MSE

34 38 42 46 50 54 58

10 30 50 70 90 110 130 150 170 190 210

0,35

0,3

0,25

0,2

0,15

0,05

0

0.1

# of exceedances

BL2

MSE

Figure 1.4 MSE for threshold candidates for BL1 (above) and BL2 (below)

Table 1.4Estimated parameters for the GPD

Business line 1 Business line 2

Optimal threshold 375 450

GPD – shape 1.041 0.750

GPD – scale 1677 601

Mean square error 0.0588 0.0402