Enterprise Risk Management Slides

Extreme Events and Extreme Value Theory (EVT) [22]

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Bullet points include: All three of these can be written in a single fashion as the GEV distribution: Xi often referred to as the tail index (or the ‘shape’ parameter), mu and sigma as the location and scale parameters respectively

Bullet points include: All three of these can be written in a single fashion as the GEV distribution: Xi often referred to as the tail index (or the ‘shape’ parameter), mu and sigma as the location and scale parameters respectively

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