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...
  2. David Harper CFA FRM

    P2.T5.22.5. Peaks-over-threshold (POT) approach to extreme value theory (EVT)

    Learning objectives: Explain the importance and challenges of extreme values in risk management. Describe extreme value theory (EVT) and its use in risk management. Describe the peaks-over-threshold (POT) approach. Questions: 22.5.1. The board has asked Claire to develop risk estimates at very...
  3. Nicole Seaman

    P2.T7.705. Extreme value theory (EVT)

    Concept: These on-line quiz questions are not specifically linked to learning objectives, but are instead based on recent sample questions. The difficulty level is a notch, or two notches, easier than bionicturtle.com's typical question such that the intended difficulty level is nearer to an...
  4. M

    Dowd - Extreme Value Theory Questions

    Hi, I am studying EVT and noticed that the GEV distrib. for xi = 0 is given by: exp[ -exp (x-u/sigma) ] as given in Dowd. So when I translated that as: 1 / (e ^ ( e ^ z) ), I noticed that my solution for ln (p) is coming to : - ( e ^ z) - which is incorrect. As Dowd says that it should be - e...
  5. H

    Extreme Value Theory

    Hi David - I have a couple of questions on EVT. - In the Quant notes, page 110, under GEV - there is a sentence underneath the formula -"In this expression, a lower tail index corresponds to a fatter tail". I understand that the tail index, epsilon, is a measure of the "fat-tailness" of the...