Journal of Operational Risk

Risk.net

Extreme value theory and high quantile convergence

Mikhail Makarov

ABSTRACT

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.

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