EVT Learning objective

[gitusrini]

Hi,

The Learning objectives for GEV and POT states " Compare and Contrast GEV and POT" Should we know how to calculate VAR and ES (POT)?

 

[David Harper CFA FRM]

Hi @gitusrini We think you do not need to know how to calculate GEV/POT for the exam ... see https://forum.bionicturtle.com/thre...ory-evt-approaches-dowd-ch-7.13994/post-74861 i.e.,

Hi @JohnnyTyler01 The EVT VaR/ES formulas are not very testable (low or no testability). How do I know? Funny you should ask! Years ago the LO read "Compute VaR and expected shortfall using the POT approach, given various parameter values," but these were among a set of compute/calculate verbs that we lobbied to soften given their inhherently low testability. So today the EVT reading is devoid of calculate/compute action verbs; e.g., Describe the peaks-over-threshold (POT) approach. Thanks,