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...

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...

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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...

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...