--- title: Chapter 9 Extreme value theory layout: default ---

Extreme value theory

  1. State and briefly describe the three types of tail distributions.

  2. What is the formal definition of fat tails?

  3. What are the two common approaches to POT (peaks over thresholds)? Which approach would you prefer?

  4. Derive the VaR for Hill estimator and write down the mathematical equation of the VaR estimator.