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Analysis of extreme events [2]

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Bullet points include: Extreme events are relatively rare, so there is relatively little data likely to be available that specifically relates to them. However, (adverse) extreme events are also typically unpleasant and they are the ones that regulators and many other stakeholders seem to expect firms to take most heed of in their risk management activities. Tackling this problem involves many facets. Be aware that it is possible to overemphasise extreme events; they are rare so their probability weighted contribution to expected outcomes (e.g. average returns) may not be large

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