Nematrian
/


Risk aggregation and Extreme Events [20]

Go to: Summary | Previous | Next   
Bullet points include: Type of limiting random variable to which extreme value converges is: Normal and log-normal Gumbel Student’s t Fréchet Uniform Weibull Weibull has an upper bound and is not generally used for tail risk purposes in a financial context, so if researcher believes Normal distribution is not appropriate then generally focuses on Fréchet, so in tail takes following form, for some pdf N.B. Link with generalised Central Limit Theorem and ‘stable’ distributions

NAVIGATION LINKS
Contents | Prev | Next | ERM Lecture Series

Desktop view | Switch to Mobile