Economics, Econometrics and Finance
8 years ago

Extreme value theory fails to predict high quantiles accurately, impacting risk assessment.

The Journal of Operational Risk
Extreme value theory and high quantile convergence
М. М. Макаров

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The article discusses how extreme value theory (EVT) is used to estimate high quantiles and shortfalls in distributions. It shows that EVT does not always lead to consistent quantile convergence across all distributions. Additionally, EVT does not always result in mean convergence.