Enterprise Risk Management Slides

Analysis of extreme events [26]

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Bullet points include: QQ-plot of GPD is convex upwards (if 0) If data is Normal then fitting a GPD may overstate size of extreme events somewhat Since Normal has same tail characteristics as = 0 GPD In real life often have multiple series / loss types Multivariate EVT theory is more complex, see later

Bullet points include: QQ-plot of GPD is convex upwards (if 0) If data is Normal then fitting a GPD may overstate size of extreme events somewhat Since Normal has same tail characteristics as = 0 GPD In real life often have multiple series / loss types Multivariate EVT theory is more complex, see later

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