Enterprise Risk Management Slides

Extreme Events and Extreme Value Theory (EVT) [31]

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Bullet points include: One such method relies on the mean excess function defined as: If X distributed as G xi, beta then. So mean excess function is linear and to investigate choice of u we may use the empirical mean-excess function:

Bullet points include: One such method relies on the mean excess function defined as: If X distributed as G xi, beta then. So mean excess function is linear and to investigate choice of u we may use the empirical mean-excess function:

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