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
• FRM Part 2, 2023 | Mar...
2) FRM Part 2 Market Risk - Chapter 1 - Estimating Market Risk Measures Part 1/2
• FRM Part 2 Market Risk...

[@arjuncrevathi]

Great lecture! I had implemented Extreme Value Theory using the 'genpareto' in Python but was confused about the parameter values. Your explanation really cleared things up for me. Thanks a lot, and keep up the fantastic work.

[@vardeez]

Thank you so much for the feedback and Appreciation Arjun 👍

[@jeremys3649]

Made it Simple

[@vardeez]

Thanks for Appreciation Jeremy !

[@tokabokagaming7709]

Thanks for making it so simple. Book name you are going to follow?
I want to grasp the evt concepts thoroughly.

[@vardeez]

Thanks for Appreciation.
Well you can follow either GARP or Schweser to understand these topics.

[@poojapandey2201]

Nicely explained and made it easy

[@vardeez]

Thanks for Appreciation Pooja !!

[@lakhanbhatter1706]

Keep posting content as you did for part 1
Enjoyed it 🎉

[@vardeez]

Thanks Lakhan for this comment. Appreciate it.
Definitely going down the line, we will post more content for FRM Part 2.