Market Risk VaR: Historical simulation - Extreme Value Theory

4 important questions on Market Risk VaR: Historical simulation - Extreme Value Theory

What does Extreme value theory describe?

Extreme value theory describes the science of estimating the tails of a distribution

What are the two parameters of the generalized pareto distribution?

The Beta and the Xi. The beta is the scale parameter where the Xi is the shape parameter

How does extreme value theory helps us with VaR and ES?

Extreme value theory tells us how something about the tail. When we know the tail, we know VaR and ES
  • Higher grades + faster learning
  • Never study anything twice
  • 100% sure, 100% understanding
Discover Study Smart

What is the application for VaR in risk theory?


Can use the formula as maximum likely hood function and so estimate VaR and ES

The question on the page originate from the summary of the following study material:

  • A unique study and practice tool
  • Never study anything twice again
  • Get the grades you hope for
  • 100% sure, 100% understanding
Remember faster, study better. Scientifically proven.
Trustpilot Logo