Further ERM Session 1: Analysis of extreme events
This presentation is based on a part of an academic course on Further Enterprise Risk Management (Further ERM) titled ‘Analysis of extreme events’ and covers topics such as: typical univariate distributions used in practice, Extreme Value Theory (EVT) and its underlying distributions, generalised distribution fitting (e.g. to the tail of a distribution), adjusting for volatility, confidence levels, multivariate extreme value theory and implications for portfolio construction
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