Further Risk Modelling
These questions cover tail risk and extreme value theory
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Question 1 of 5
Match each of the following copulas to the appropriate tail dependence description
- Upper tail dependence
- No tail dependence
- Lower tail dependence
- Upper and lower tail dependence
Question 2 of 5
Match each of the following ranges for the generalised extreme value (GEV) distribution parameter g to the appropriate definition
- Power law tail (Fréchet)
- Exponential tail (Gumbel)
- Finite tail (Weibull)
Question 3 of 5
If modelling an exteme event where the tail of the distribution is fatter than would be seen under the normal (Gaussian) distribution, in which range should the generalised extreme value (GEV)Correct
Question 4 of 5
If using the generalised extreme value (GEV) distribution to model risks, what is the name of the approach that models the highest observation in each block of data?Correct
Question 5 of 5
When fitting a generalised Pareto distribution, what is the name of te function used to help determine the threshold to the tail of the distribution?Correct