  We study two Bayesian (Reference Intrinsic and Jeffreys prior) and two
frequentist (MLE and PWM) approaches to calibrating the Pareto and related
distributions. Three of these approaches are compared in a simulation study and
all four to investigate how much equity risk capital banks subject to Basel II
banking regulations must hold. The Reference Intrinsic approach, which is
invariant under one-to-one transformations of the data and parameter, performs
better when fitting a generalised Pareto distribution to data simulated from a
Pareto distribution and is competitive in the case study on equity capital
requirements
