FRM: Extreme Value Theory (EVT) - Intro

[@leahl8240]

even it was a video from 2008, it's still quite helpful now!!!! can't be more grateful

[@tapanbagchi]

Superb clarity in your words and slides! You must write a book on EVT now, unless you have done that already. Please keep up this great work!

[@chd9841]

so you made this video 11 years back in 2008.... well I graduated in statistics 11 years back.... and this topic was never taught to me...I see it today!!! Good explanation!

[@bionicturtle]

@tapanbagchi thank you, I really appreciate such kind feedback. Candidly, I could not write such a book: EVT is deep, i am learning myself more about it ... at the time i recorded this, i was satisfied to have a shallow understanding. thanks!

[@paridhichauhan2470]

The explanation was very clear and easy to understand. Thank you for the video

[@anderso84]

Thanks a lot for a very well explained video! It gives a good understanding and relates it very well to the more basic statistics. Good job! :) I work in hydrology, with flood control where this is a key part in the design of protection measures. All the best!

[@robertovalle655]

Thank you for posting. I love this!!! Takes me back to my MBA school days

[@investwithvincent6329]

When I think of "Y", I'm assuming we are talking about he green curve. What is "Y" in this case? 7:40

[@leongsengcheong4194]

This is a helpful video. I needed to under Extreme Value Theory for semiconductor industry, in SRAM HTOL statistics

[@davineiva]

Very good explanation! Helped me a lot to understand it! Thanks.

[@bionicturtle]

Davi Neiva You're welcome! Thanks for watching :)

[@naveenkumaruthamanthil3579]

Quite informative. Thank you. Do you have any video/ reading material explaining the use of Weibul distrobutions predicting extreme distributions like flood/ rainfall?

[@bionicturtle]

@OldGoat1951 thanks, good point, i see why that could be confusing at the end. I wish I'd have made explicit that (of course) the CDF refers to the area under the pdf curve. As you know, it's much easier to explain the EVT idea with the more familiar pdf (as opposed to: trying to show child CDF on parent CDF). Re: max/min of independent: I agree, good point!

[@drzamansajid]

Thanks for the great video. Much informative. Just wondering where does the heavy-tailed distribution fit in all of these concepts?

[@yinglunsu2424]

thank you so much for posting these videos! really helped me a lot!

[@brucelevin5036]

What about gains that breach the VaR. In practice are both tails not normally distributed in a symmetrical manner?

[@yangzhou1269]

Thank you, it makes so much sense now.

[@bionicturtle]

@DirGun deep, thanks

[@isma2024]

In the graph you illustrate the density and not the CDF.

[@muskduh]

Thanks for the review

[@mollyzhou8359]

Thank you for the concise explanation!!! Can you recommend some helpful yet straightforward books or online materials to further understand the EVT?

[@امیدفخری-ب6ن]

I had confused with Extreme value distribution and this video help me to understand better the concept. Do this lecturer have more vids about this subject?

[@aboyinfinland9230]

David, you are amazing. Sir question to you : What do you think about power laws and fractal finance and its applicability in Risk ?

[@fistylo]

you are shining with your how know.i hope that you will describe Mean-VarianceOptimization,PortfolioReturnFormulae

[@wongjoe8999]

really a good explanation thanks

[@AlexEdstrom]

@mecobio As someone who is just diving into Extreme Value Theory, I was wondering if you had any suggestions for a beginners text. I'm focused on climate studies

[@arkabose89]

amazing intuitive explanation! Thanks!

[@bionicturtle]

Arka Bose You are very welcome! Thank you for watching! :)

[@AnandSinghVentures]

Thank You BT. Awesome

[@bionicturtle]

+Anand Singh You're welcome! Thanks for watching!

[@mecobio]

Yes, big errors!!, since the CDF is the area below the curve of PDF (or the sum in the PMF, i.e. the discrete version). Also the other error is that it is missleading to say that people add and extra distribution over the normal distribution. Recall that the sume of the PDF (or PMF) equals one, so adding one to another doesn't guarantee that one equality autmatically. Long-tailed distributions have "less shoulders" than the normal.

[@fadouamunzel1937]

Very helpful video, but pls can anyone tell me whether EVT can also be used to detect extreme gains and not only extreme losses

[@tamara778]

en.wikipedia.org/wiki/Generalized_extreme_value_distribution#Link_to_Fr%C3%A9chet,_Weibull_and_Gumbel_families - The Fréchet one

[@abhijithv3047]

sir can you help me with some materials for calculation of GEV, with best definitions of shape and scale parameters

[@qiulinliu8707]

Thank you!! It's very clear!!

[@bionicturtle]

You're welcome! We are happy to hear that our videos are so helpful! Thanks for watching :)

[@christbool]

Thank you !!!!!!!!!!!!!!!

[@bionicturtle]

Thank you for watching!

[@rediromasuperstar]

Very clear indeed.

[@DirGun]

R.I.P VaR & Blackscholes.... I like that theory

[@VikasSingh-tw8wu]

Hi. Are you still active ?

[@bionicturtle]

yep, 2 new videos a week

[@stvmatl]

Very good

[@bionicturtle]

Thank you for watching!

[@riyaarora4734]

love this vedio!