Modeling Tail Behavior with Extreme Value Theory, Risk Management

📖erm-learning-obj-2
📘modeling-tail-behavior-evt

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Reading Source: http://www.soa.org/library/newsletters/risk-management-newsletter/2009/september/jrm-2009-iss17.aspx

Topics Covered in this Reading:

  • Model Backlash
  • Extreme Value Theory
  • The Distribution of Excesses
  • Modeling with a Hybrid Empirical/GPD Model
  • The Choice of the Threshold Value
  • Example: Modeling Monthly Total Returns for A-Rated 7-10 Year Corporate Bonds
  • Key Model Results
  • Conclusions