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Extreme value theory and high quantile convergence

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  • 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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  • Mikhail Makarov, . "Extreme value theory and high quantile convergence," Journal of Operational Risk, Journal of Operational Risk.
    • Handle: RePEc:rsk:journ3:2160852
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