multivariate-evt
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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...- Nicole Seaman
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- Forum: FRM® Practice Questions
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P2.T7.805. Extreme value theory (EVT): GEV versus POT (Dowd Ch. 7)
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...- Nicole Seaman
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- extreme-value-theory multivariate-evt
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- Forum: FRM® Practice Questions