# Extreme value theory expected value of GPD

We're using extreme value theory to model tail risks on our portfolio. After we choose the threshold, we fit generalized Pareto distribution to our data over the threshold. The expected value of GPD is quite larger (10%) than the average value of our losses over the threshold. My question is, is this to be expected? Or does that mean that the GPD is a bad fit to the data and that we've chosen the wrong threshold? Also, is there a good way to check whether the GPD is a good fit?

• Can you give some more details on how you are fitting GPD to the Tails? Are you using a R package to do it? Or you have developed a code on your own? – Deb Sep 28 '16 at 13:46

XFitGPD<-gpdFit(X,u= ...)