Minerva Investment Management Society

Quantitative Research Paper

Extreme Value Theory: How to predict extreme losses

· Quantitative Research

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Summary

EVT is a branch of Statistics that deals with extreme deviations from the median of probability distributions. This theory tries to give a description for heavy tailed distributions like the ones of financial markets. In this report we are going to review and implement two separate, but similar methods to illustrate the power of this theory.

Authors

  • Mohammad PourmohammadiRisk Analyst

Details

Published
9 April 2021
Division
Quantitative Research
Type
Quantitative Research Paper
Pages
5
Authors
1

Cite this report

Minerva Investment Management Society (2021). Extreme Value Theory: How to predict extreme losses. Quantitative Research. https://minervaims.org/archive/extreme-value-theory-how-to-predict-extreme-losses-2021

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