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multivariate-evt

  1. Nicole Seaman

    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...
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