Enterprise Risk Management Slides

Extreme Events and Extreme Value Theory (EVT) [11]

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Bullet points include: Usually analysed by splitting distribution (using Sklar’s theorem) between Marginals; and Copula. However, Fat-tailed characteristics then difficult to visualise. In this respect, copulas are akin to cumulative distribution function. Many problems depend on a) and b) in tandem. Kemp (2010) proposes a multi-dimensional variant of QQ-plots to circumvent these difficulties

Bullet points include: Usually analysed by splitting distribution (using Sklar’s theorem) between Marginals; and Copula. However, Fat-tailed characteristics then difficult to visualise. In this respect, copulas are akin to cumulative distribution function. Many problems depend on a) and b) in tandem. Kemp (2010) proposes a multi-dimensional variant of QQ-plots to circumvent these difficulties

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