medium · Frm Part 2 Market Risk
A risk manager is using the Peaks-over-Threshold (POT) approach from Extreme Value Theory (EVT) to model tail risk.
Which distribution is theoretically the limit distribution for the values exceeding a sufficiently high threshold?
- Student's t-distribution.
- Generalized Extreme Value (GEV) distribution.
- Log-Normal distribution.
- Generalized Pareto Distribution (GPD).
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