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C04: Extreme Value Theory for Calibrating 1-in-200 Stress Tests

Author:
Members of the Extreme Events Working Party
Source:
Life Conference and Exhibition, 20 - 22 November 2011
Publication date:
20 November 2011
File:
PDF 699.2 KB
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Document description

The extreme events working party has developed an open-source excel tool to fit extreme value (GPD) distributions to historic data sets. This workshop demonstrates:

  • how to understand estimation error by using the tool on simulated data
  • how to make good choices for the configuration settings
  • estimated 99.5 percentiles from equity and interest data, compared to the results of alternative fitting approaches.