GEV and threeshold

[Chris22]

In the page 21 of reading 36, under GEV there is a mention of selecting the threshold. Shouldn't it apply only for POT ?

Thanks

Christian

 

[David Harper CFA FRM]

Hi @Chris22 Yes, my mistake, you are absolutely correct (GEV has three params but no threshold)

 

[ShaktiRathore]

Hi
Yes it applies to POT only which means Peak over Threshold.Where distribution characterizes the losses over the threshold.
visit: https://forum.bionicturtle.com/thre...tudy-notes-p2-t5-market-risk.8758/#post-39763
thanks