Enterprise Risk Management Slides

Extreme Events and Extreme Value Theory (EVT) [24]

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Bullet points include: Let Fu be defined as follows: Then under same hypotheses as applied to block maxima we have: Where G mu, sigma, xi (z) has the form: Here xi has the same type of meaning as before, e.g. G mu, sigma, xi(z), which is the generalised Pareto distribution with parameters mu, sigma, xi, is in the maximum domain of attraction of H(xi)

Bullet points include: Let Fu be defined as follows: Then under same hypotheses as applied to block maxima we have: Where G mu, sigma, xi (z) has the form: Here xi has the same type of meaning as before, e.g. G mu, sigma, xi(z), which is the generalised Pareto distribution with parameters mu, sigma, xi, is in the maximum domain of attraction of H(xi)

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