Enterprise Risk Management Slides

Extreme Events and Extreme Value Theory (EVT) [27]

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Bullet points include: Let N(u) be number of excesses Yi over the threshold u in the sample. We assume that the excesses Y1, ..., YN(u) are distributed according to a GPD. Set. Then ML-estimates are found by solving (c.f. ‘Hill’ estimator):

Bullet points include: Let N(u) be number of excesses Yi over the threshold u in the sample. We assume that the excesses Y1, ..., YN(u) are distributed according to a GPD. Set. Then ML-estimates are found by solving (c.f. ‘Hill’ estimator):

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