Enterprise Risk Management Slides

Extreme Events and Extreme Value Theory (EVT) [14]

Go to: Summary | Previous | Next
Bullet points include: Average extent to which tail exceeds expected level (average of 6 most extreme outcomes). Downside (%). Upside (%). Unadj. Adj for vol. FTSE All-Share (in GBP). S&P 500 (in USD). FTSE Eur ex UK (in EUR).Topix (in JPY)

Bullet points include: Average extent to which tail exceeds expected level (average of 6 most extreme outcomes). Downside (%). Upside (%). Unadj. Adj for vol. FTSE All-Share (in GBP). S&P 500 (in USD). FTSE Eur ex UK (in EUR).Topix (in JPY)

NAVIGATION LINKS
Contents | Prev | Next | ERM Lecture Series

Desktop view | Switch to Mobile