Enterprise Risk Management Slides

Extreme Events and Extreme Value Theory (EVT) [33]

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Bullet points include: Risk. Next year. Next 5 years. Next 15 years. Source: Rootzen and Tajvidi (1995). Derived by applying Generalised Extreme Value Distribution multiplied by exp[-lambda T] term and then inverting

Bullet points include: Risk. Next year. Next 5 years. Next 15 years. Source: Rootzen and Tajvidi (1995). Derived by applying Generalised Extreme Value Distribution multiplied by exp[-lambda T] term and then inverting

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