Method evidence record

Extreme Value Theory

Extreme Value Theory is a statistical framework for modelling the rare events that live in the tail of a probability distribution. As developed in Coles (2001) and applied to risk by McNeil, Frey & Embrechts (2005), it offers two standard routes: the Generalized Extreme Value (GEV) distribution for block maxima and the Generalized Pareto Distribution (GPD), used in the peaks-over-threshold approach, for exceedances above a high threshold.

Sources recorded, not reviewed

Source record

Citations copied verbatim from the method’s source record. No claim-level verification is inferred from them.

Extreme Value Theory (GEV, GPD, Peaks-Over-Threshold)

Taxonomic method record · regression-model / finance

Coles, S. (2001). An Introduction to Statistical Modeling of Extreme Values. Springer. · ISBN 978-1852334598
McNeil, A. J., Frey, R., & Embrechts, P. (2005). Quantitative Risk Management: Concepts, Techniques and Tools. Princeton University Press. · ISBN 978-0691122557

Open full method

Curated claims

Claims persisted in the evidence ledger, each with its own assessment.

No curated claims yet

This view does not invent a claim assessment when the ledger has none.

Related methods

Generated from the method graph and shown as machine-suggested relations — no evidence claim is inferred.

Same method familyARIMAmachine-suggested · Relational suggestion, not evidence.Same method familyConditional Value-at-Riskmachine-suggested · Relational suggestion, not evidence.Same method familyEGARCHmachine-suggested · Relational suggestion, not evidence.Same method familyRealized Volatilitymachine-suggested · Relational suggestion, not evidence.Same method familyValue at Riskmachine-suggested · Relational suggestion, not evidence.