Enterprise Risk Management Slides

Analysis of extreme events [1]

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Bullet points include: Typical univariate distributions used in practice. Extreme Value Theory (EVT) and its underlying distributions. Generalised distribution fitting (e.g. to the tail of a distribution). Adjusting for volatility. Confidence levels. Multivariate extreme value theory. Portfolio construction

Bullet points include: Typical univariate distributions used in practice. Extreme Value Theory (EVT) and its underlying distributions. Generalised distribution fitting (e.g. to the tail of a distribution). Adjusting for volatility. Confidence levels. Multivariate extreme value theory. Portfolio construction

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