extreme-value-theory

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...

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...

Learning objectives: Compare and contrast generalized extreme value and POT. Evaluate the tradeoffs involved in setting the threshold level when applying the GP distribution. Explain the importance of multivariate EVT for risk management. Questions: 805.1. Robert the Risk Analyst is employing...

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: 804.1. (Please note: This question is obviously inspired by practice...

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...

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...