FRM: Extreme Value Theory (EVT) - Intro
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17 سال پیش
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Extreme value theory (EVT) aims
Extreme value theory (EVT) aims to remedy a deficiency with value at risk (i.e., it gives no information about losses that breach the VaR) and glaring weakness of delta normal value at risk (VaR): the dreaded-fat tails. The key is idea is that the tail has it's own "child" distribution. For more financial risk videos, visit our website! http://www.bionicturtle.com
17 سال پیش
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