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

View Answer

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: