Parametric Approaches : Extreme Value Theory | FRM Part 2 - Market Risk| GEV and POT Approaches

Описание к видео Parametric Approaches : Extreme Value Theory | FRM Part 2 - Market Risk| GEV and POT Approaches

Hello Candidates,
Parametric Approaches : Extreme Value Theory | FRM Part 2 - Market Risk| GEV and POT Approaches

In this video, we will go through Chapter 3 - Parametric Approaches : Extreme Value Theory for FRM Part 2. We will also discuss Generalized Extreme Value and Peaks Over Threshold approaches that will be useful for Calculating Value at Risk and Expected Shortfall.

Watch other Videos as well:
1) FRM Part 2, 2023 | Market Risk Chapter 2 | Non Parametric Approach Part 1/2
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2) FRM Part 2 Market Risk - Chapter 1 - Estimating Market Risk Measures Part 1/2
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