Exit 8008 PRM Certification - Exam III: Risk Management Frameworks, Operational Risk, Credit Risk, Counterparty Risk, Market Risk, ALM, FTP - 2015 Edition
Question 3 of 5
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Q3 Single choice

A risk analyst attempting to model the tail of a loss distribution using EVT divides the available dataset into blocks of data, and picks the maximum of each block as a data point to consider.

Which approach is the risk analyst using?

  • A

    Block Maxima approach

  • B

    Peak-over-thresholds approach

  • C

    Expected loss approach

  • D

    Fourier transformation

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