Journal of Operational Risk
ISSN:
1755-2710 (online)
Editor-in-chief: Marcelo Cruz
Extreme value theory and high quantile convergence
Mikhail Makarov
Abstract
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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