Journal of Operational Risk

Extreme value theory and high quantile convergence

Mikhail Makarov


In this paper we raise some issues concerning estimation of high quantiles and shortfalls using extreme value theory (EVT). We demonstrate that for a wide class of distribution, EVT does not lead to uniform relative quantile convergence. Further we show that, in general, EVT does not lead to mean convergence.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here