Regression model
Extreme Value Theory (EVT)
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.
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Sources
- 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