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Which of the following belong to the family of generalized extreme value distributions:
Which of the following belong to the family of generalized extreme value distributions:
I. Frechet
II. Gumbel
III. Weibull
IV. Exponential
A . IV
B . I, II and III
C . II and III
D . All of the above
Answer: B
Explanation:
Extreme value theory focuses on the extreme and rare events, and in the case of VaR calculations, it is focused on the right tail of the lossdistribution.
In very simple and non-technical terms, EVT says the following:
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