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?
What are the two parameters of the generalized pareto distribution?
How does extreme value theory helps us with VaR and ES?
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What is the application for VaR in risk theory?
Can use the formula as maximum likely hood function and so estimate VaR and ES
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