medium · Frm Part 2 Market Risk
A risk manager is fitting a distribution to the tail of operational losses using Extreme Value Theory (EVT). The manager decides to model all losses that exceed a high threshold u.
Which approach and limiting distribution are appropriate?
- Block Maxima and the Generalized Extreme Value (GEV) distribution.
- Cornish-Fisher expansion and the Normal distribution.
- Kupiec Unconditional Coverage and the Chi-squared distribution.
- Peaks-over-Threshold (POT) and the Generalized Pareto Distribution (GPD).
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