Which of the following is TRUE comparing VAR and extreme value theory(EVT)?

A. The generalized Pareto distribution is fully parameterized by the mean and variance.

B. VAR and EVT assume normality of the return distribution.

C. Only EVT considers losses beyond a specified threshold.

D. EVT focuses exclusively on the upper half of the return distribution.

 

 

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金融风险管理师

Which of the following statements regarding generalized extreme value(GEV) and peakover-threshold(POT) is CORRECT?

2021-1-30 11:28:16

金融风险管理师

Which of the following statements regarding the role of the firm's audit committee is most accurate?

2021-2-9 15:38:49

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