blocks-approach

  1. Nicole Seaman

    P2.T5.22.6. Blocks (BM) approach to extreme value theory (EVT)

    Learning objectives: Compare and contrast the generalized extreme value and POT approaches to estimating extreme risks. Evaluate the tradeoffs involved in setting the threshold level when applying the generalized Pareto (GP) distribution. Explain the multivariate EVT for risk management...
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