hard · Frm Part 2 Market Risk
An analyst is using Extreme Value Theory (EVT) to model the tail of a loss distribution. They select the Peaks Over Threshold (POT) approach.
Which distribution is theoretically appropriate for modeling the excesses over a sufficiently high threshold?
- Generalized Extreme Value (GEV) Distribution
- Lognormal Distribution
- Generalized Pareto Distribution (GPD)
- Poisson Distribution
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