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Tail fitting, quantile interpolation [5]

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Bullet points include: Taking due account of the possibility of extreme events occurring is important but also challenging for many market professionals. Insurers: Solvency II mandates 1 in 200 year VaR, but we do not have 200 years of relevant historical data. Pension funds: Practical likelihood of beneficiaries receiving all that they have been promised depends heavily on hopefully rare extreme credit events, e.g. the sponsor defaulting. Asset managers. Clients and firms themselves naturally want to understand downside risks and their potential causes. Even if need to balance risk versus reward means that there is a risk we can give too much emphasis to the downside. Banks: E.g. many recent operational risk losses have been much larger than losses previous models had considered plausible

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