Extreme Value Theory (EVT): A Quick Review
1. Context
In this video from FRM Part 2 curriculum (Market Risk section), we review this reading on “Parametric Approaches: Extreme Value Theory (EVT)”. We take a look at the importance and challenges posed by extreme values, the specifics and use of Block Maxima Approach and the specifics and use of Peaks Over Threshold (POT) Approach. The rationale for use of Multivariate EVT is also presented. This video is an addendum to finRGB’s preparation course for FRM Part 2.
| Area | Market Risk |
| Reading | Parametric Approaches: Extreme Value Theory |
| Reference | Kevin Dowd, Chapter 7, Parametric Approaches: Extreme Value, In Measuring Market Risk, 2nd Edition (West Sussex, UK: John Wiley & Sons, 2005). |